Q1 2024: Initial Deployment & Strategy A Live
First quarterly update on the Portfolio Experiment: capital allocation, Strategy A go-live, and early performance observations.
Overview
This is the first official update of the Portfolio Experiment. After months of backtesting and system validation, Strategy A went live in January 2024.
Capital Allocation
The initial allocation is split across three strategies:
- Strategy A (Trend Following — VUG/GLD): 50% of capital
- Strategy B (Mean Reversion — EEM): 30% of capital
- Strategy C (Options overlay): 20% of capital
Strategy A: Early Observations
The first quarter was marked by a strong trend in equities. Strategy A captured the bulk of the move while maintaining volatility within target parameters.
Key metrics Q1 2024:
- Return: +4.2%
- Max Drawdown: -1.8%
- Sharpe (annualized): 1.34
- Volatility target: 15% (achieved: 13.2%)
Risk Management Notes
Position sizing remained within bounds throughout the quarter. The HMM regime filter correctly identified a risk-on environment from mid-January onward.
What’s Next
Q2 will focus on live monitoring of Strategy B’s first signals and potential Strategy C adjustments based on implied volatility levels.
This is not financial advice. All content is for educational purposes only.