August was a strong month for the Classic strategies and for the simulated Spike track. Classic Diversified returned +35.40% and Classic Stable +16.68%. Spike Stable, which is simulated, returned +8.32%.
Performance
| August | Year to date | |||
|---|---|---|---|---|
| Gross | Net 25% | Gross | Net 25% | |
| Spike Stable (simulated) | +8.32% | +8.32% | +46.04% | +23.84% |
| Classic Diversified | +35.40% | +35.40% | +26.50% | +22.76% |
| Classic Stable | +16.68% | +16.68% | +38.57% | +27.88% |
| 12 months | Since 1 January 2024 | ||
|---|---|---|---|
| Gross | Net 25% | Gross | |
| Spike Stable (simulated) | +132.76% | +96.31% | +426% |
| Classic Diversified | +17.29% | +11.65% | +505% |
| Classic Stable | +35.37% | +24.93% | +410% |
Portfolio manager’s comment
Classic Diversified outperformed Classic Stable. The additional return came from the larger share of bitcoin in its collateral, which was built up during the preceding decline, and from the algorithms’ performance in the strong move that followed.
Several factors drove the August rally together: a technical rebound after the earlier decline, the closing of a large volume of short positions, a weaker dollar, positive expectations for crypto-asset regulation in the United States, and larger buybacks of long-term bonds by the US Treasury.
Why the character of the move matters
For the algorithms, the character of a move matters more than its direction. In low-volatility, sideways markets the strategies may return close to zero or draw down. When a strong directional impulse appears, they can recover earlier losses quickly and reach new highs.
The longer horizon shows this clearly. Since 1 January 2024, Classic Diversified has returned +505% and Classic Stable +410%, with reinvestment and before performance fees.
For this reason Algotoria treats the strategies as investments with a horizon of two to three years or more. Individual losing months and quarters, and even extended periods of weak performance, are part of the statistics. The strategies should be judged over a period long enough for their positive expected return to emerge, not by a single segment.
Spike
Algotoria is also developing Spike, a multi-asset strategy based on neural networks. Spike stays out of the market most of the time and opens positions only when the probability of a strong move is high. Its August result of +8.32% is a simulation, not the return on client funds. The strategy is in forward testing, and the outcome of that test will decide whether it is added to client portfolios.
The portfolio
The investment team continues to widen the portfolio. New long and countertrend algorithms, models based on neural networks and a greater variety of trading approaches are in development and testing.
After a long period of difficult markets, August showed again the main advantage of a systematic approach. It does not require a forecast of where the market will go. It requires readiness to profit when a strong move appears.