Merlin Strategy Performance for March 2020
Below is a performance summary for our Merlin trading strategy for the month of March 2020, net of transaction costs. To learn more about the strategy and to follow along in real-time with its trading signals, please visit the Merlin strategy page.
Merlin Performance for March
| Strategy | March | Year to Date |
|---|---|---|
| Merlin Margin | -7.38% | -11.34% |
| 60/40 Benchmark | -5.99% | -7.52% |
See Performance Disclosures: Monthly Performance.
Merlin Closed Trades in March
| Closed Trades | Return on Signal | R-Multiple |
|---|---|---|
| KPTI | +52.90% | +2.65 |
| ZTO | +16.50% | +1.50 |
| ARWR | -25.09% | -1.16 |
| ATEC | -29.84% | -1.00 |
| ICHR | -22.35% | -1.00 |
| XBI | -13.24% | -1.11 |
| PDD | +6.56% | 0.50 |
| PAYS | -37.96% | -1.27 |
| BND | -3.70% | -1.48 |
| PFNX | -28.44% | -1.00 |
| BZUN | -33.01% | -1.34 |
| XLV | -16.19% | -1.00 |
Performance Commentary
We saw another wave of exits as the selling pressure across the market intensified throughout the month of March. Nearly all of the positions Merlin started the month with were stopped out by the 12th and by the end of the month the only position remaining was some broad exposure to consumer staples.
You may recall in last months performance report, we mentioned how Merlin’s built-in circuit breaker to “reduce risk” was triggered, and that still the remains the case heading into April. Until the price action and overall breadth of the market improves, exposure will remain light.
NAV is back to levels last seen in November
Merlin Margin Portfolio returns over the past five months:
- March 2020: -7.38%
- February 2020: -8.25%
- January 2020: +4.29%
- December 2019: +5.42%
- November 2019: +8.19%
This is a great perspective on recent returns because on a relative basis it shows just how resilient the strategy has been. Merlin is the only portfolio still holding onto 5 month positive returns at +2% meanwhile the S&P500 is down nearly 14% and our 60/40 benchmark is down 5%. Down months are never pleasant but having the bigger picture in mind certainly helps.
Final thoughts
Our Merlin trading system is behaving just as I would expect it to given what the market has thrown at it. Our backtests suggest these are the periods to be leaning into the strategy in terms of allocations rather than getting scared, turning things off, or manually overriding system rules.
If you’re looking for an evidence-based strategy for swing trading individual stocks and ETFs on an end of day closing basis, check out the details behind Merlin here.
