July was a relatively quiet month for Ubique, with the fund down slightly by -0.52%. Broken down, it looked like this:
Golden Ratio: 2.58%
Keeping Up With The Joneses: -0.67%
Platinum Winter: -3.11%
Brokerage Fees & Commissions: -0.12%
Interestingly, most of the slippage came from the Dow Jones trades. This most probably is due to the fact that this trades on a daily timeframe whereas the other two strategies trade more, over weekly and monthly bars. What is positive, however, is that in all our modelling, we have applied a 0.40% monthly slippage, so a total of 0.29% slippage means our overall Compounded Annual Growth Rate is potentially stronger than we have calculated, over the longterm.
Although the month was quiet, in many ways, this is exactly what we want. Systematic and quantitatively driven trading is boring if done right. There isn't any grand narrative to explain the decisions and their outcomes. Combine that with ideally low volatility and there isn't much to write home about. When the volatility grows, however, that's when either we capture it as we are in the same direction as the movement, or we have our stops in place to ensure equity protection.
Looking forward to August, we are still continuing to hold the markets against gold, platinum is still in play, and we will be introducing some additional overnight trading systems to capture discrepancies within Silver, Gold, and Oil. Our thinking behind this strategy, we are coining Metallica will be discussed more in the next podcast, but the premise is to offer further diversification of asset class which should de-risk the portfolio as a whole. Unfortunately, there is only very limited past data available on overnight tick movements, so we don't have many years of risk-managed data, but rather the close of the night before and the open the following day. Due to this, at this time we will be introducing this strategy at a very small level to the fund and in time as we build up our own history on this, we will look to increase its holding.
We are also proud to announce that we now have active client money under management. Due to privacy laws etc, we are not willing to go into too much detail but as of Aug 1st, we are now trading both our own money as well as client money. We will be starting at a tenth of the account value to ensure everything is in order and there are no hiccups on the broker side, and we have also been able to secure them a free $10k funding bonus from the broker, which is always appreciated!
That is about it for July, August generally looks a little more volatile than July, but time will tell whether or not this trend continues this year.
If you have any questions or would like to know more about anything mentioned above, feel free to get in contact with us, and we'll happily have a chat with you about it.
Until next time, stay safe, and swing easy.
For more in-depth analysis, everything is on the website for inspection (www.willowoakadvisory.com/ubique)