Overview & Performance Since March, 2024
The portfolios have great relative performance: up 1.06% for the week but down 0.67% for the month. In comparison, the Nasdaq is up 0.67% week-to-date but down 4.3% for the month. We continue to significantly outperform the Nasdaq over the past month, since inception, and year-to-date.
Market volatility has increased substantially, impacting risk-adjusted returns. The Nasdaq's Sharpe ratio has dropped from above 2 to 0.41, indicating a significant decrease in risk-adjusted performance.
Recently, we briefly invested in TLT (20+ Year Treasury Bond ETF) but have since sold both TLT and XLK (Technology Select Sector SPDR Fund) positions. Our strategies are currently positioned defensively in anticipation of further market volatility. However, despite this conservative stance, our indicators suggest that a shift to a risk-on state may be approaching.
| Low | Medium | High | S&P 500 | Nasdaq 100 | |
|---|---|---|---|---|---|
| Cumulative Returns | 3.17% | 0.85% | -0.82% | 4.86% | 2.60% |
| MTD Returns | -0.67% | -0.67% | -0.67% | -3.23% | -4.30% |
| Sharpe | 0.96 | 0.26 | -0.13 | 0.89 | 0.41 |
| Volatility | 7.58% | 8.58% | 10.34% | 12.90% | 18.41% |
| WTD Returns | 1.06% | 1.06% | 1.06% | -0.04% | 0.63% |
| 1D Returns | 0.49% | 0.49% | 0.49% | 0.47% | 0.54% |
| Yield | 4.40% | 4.40% | 4.40% | 1.28% | 0.64% |
Low Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 39.89% | 5.24% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 25.11% | 4.37% | ['PDBA'] |
| GLD | 17.59% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.41% | ['TQQQ'] |
| TLT | 0.00% | 3.73% | ['VGLT', 'EDV'] |
| UUP | 17.41% | 6.97% | ['USD', 'DXY'] |
| XLK | 0.00% | 0.74% | ['QQQ'] |
Medium Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 39.89% | 5.24% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 25.11% | 4.37% | ['PDBA'] |
| GLD | 17.59% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.41% | ['TQQQ'] |
| TLT | 0.00% | 3.73% | ['VGLT', 'EDV'] |
| UUP | 17.41% | 6.97% | ['USD', 'DXY'] |
| XLK | 0.00% | 0.74% | ['QQQ'] |
High Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 39.89% | 5.24% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 25.11% | 4.37% | ['PDBA'] |
| GLD | 17.59% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.41% | ['TQQQ'] |
| TLT | 0.00% | 3.73% | ['VGLT', 'EDV'] |
| UUP | 17.41% | 6.97% | ['USD', 'DXY'] |
| XLK | 0.00% | 0.74% | ['QQQ'] |
Disclaimer:
The above is intended for research purposes only and is not trading or financial advice