I figured I will post once-per month update on systematic equities portfolio at around every month close.
August closed +3.29%, taking the book to +24.9% year to date. It is a partial repair: June and July cost 9.4% together, the drawdown from the early-June high reached 13.7%, and August took back 6.1% off the late-July low, leaving the book about 8% under that high.
SPY returned +2.55% and QQQ +3.40% over the same sessions. Volatility Premium and Core did most of the work, contributing 1.55 and 1.04 points, with Equity Momentum adding 0.70. Tactical SPX L/S never traded, no setup fired all month.
Those of you interested you can follow the systematic portfolio in real-time at Tradingriot website while also getting access to derivatives data for equities, commodities, rates, FX & digital assets. Distilled into daily signals and other actionable strategies.
