Strategy & Portfolio Updates as of 2024-11-01
October Performance Update
October brought some shifts in our trading posture, as we moved into a risk-on mode. The month was marked by some early gains that ultimately tempered, but overall we ended up outperforming the major benchmarks.
At one point, the high-volatility algorithm was up nearly 10%, but the recent pullback brought our final return for the month to 1.52%. Despite the drop from earlier highs, this result still exceeded the benchmarks:
Performance Summary:
- QQQ: 0.54%
- SPY: 0.00%
- High Volatility: 1.52%
- Medium Volatility: 0.53%
- Low Volatility: -0.65%
Positions and weights are detailed below for those interested in a closer look.
Thank you for staying tuned, and as always, feel free to reach out with questions or thoughts.
| Low | Medium | High | S&P 500 | Nasdaq 100 | |
|---|---|---|---|---|---|
| Cumulative Returns | 5.10% | 4.12% | 3.64% | 12.74% | 11.02% |
| MTD Returns | -0.05% | 0.09% | 0.32% | 0.70% | 0.72% |
| Sharpe | 0.94 | 0.58 | 0.42 | 1.38 | 0.93 |
| Volatility | 8.16% | 11.33% | 15.45% | 13.43% | 18.27% |
| WTD Returns | -0.87% | -1.44% | -2.03% | -1.08% | -1.65% |
| 1D Returns | -0.05% | 0.09% | 0.32% | 0.70% | 0.72% |
| Yield | 2.44% | 1.78% | 0.15% | 1.23% | 0.62% |
Low Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 33.15% | 5.16% | ['BOXX'] |
| BTCUSD | 16.70% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 14.16% | 4.17% | ['PDBA'] |
| GLD | 8.57% | 0.00% | ['IAU'] |
| TECL | 13.28% | 0.34% | ['TQQQ'] |
| TLT | 0.00% | 4.02% | ['VGLT', 'EDV'] |
| UUP | 0.00% | 6.79% | ['USD', 'DXY'] |
| XLK | 14.14% | 0.70% | ['QQQ'] |
Medium Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 32.60% | 5.16% | ['BOXX'] |
| BTCUSD | 37.55% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 0.00% | 4.17% | ['PDBA'] |
| GLD | 0.00% | 0.00% | ['IAU'] |
| TECL | 29.86% | 0.34% | ['TQQQ'] |
| TLT | 0.00% | 4.02% | ['VGLT', 'EDV'] |
| UUP | 0.00% | 6.79% | ['USD', 'DXY'] |
| XLK | 0.00% | 0.70% | ['QQQ'] |
High Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 0.00% | 5.16% | ['BOXX'] |
| BTCUSD | 55.38% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 0.00% | 4.17% | ['PDBA'] |
| GLD | 0.00% | 0.00% | ['IAU'] |
| TECL | 44.62% | 0.34% | ['TQQQ'] |
| TLT | 0.00% | 4.02% | ['VGLT', 'EDV'] |
| UUP | 0.00% | 6.79% | ['USD', 'DXY'] |
| XLK | 0.00% | 0.70% | ['QQQ'] |
Disclaimer:
The above is intended for research purposes only and is not trading or financial advice