Trading Systems Performance for May 2023
Below is a performance summary for our fully rules-based trading systems for the month of May 2023. To learn more about these systems and to follow along in real-time with their signals, check out our Trading Systems page.
March markets at a glance
| Market | May | Year to Date |
|---|---|---|
| S&P 500 ($SPX) | +0.46% | +9.68% |
| 10-Year Treasury (IEF) | -1.44% | +3.26% |
| 60/40 Portfolio (SPY/IEF) | -0.30% | +7.12% |
Trading system performance
| System | May | Year to Date |
|---|---|---|
| Trade Risk Index | +0.79% | -1.62% |
| Merlin System | +1.55% | -6.55% |
| Lamorak System | +0.12% | +3.26% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Trading system commentary
May was a choppy month for the traditional 60/40 portfolio. All of the market gains really came from a concentration of mega-cap technology stocks as investors’ rushed to own any equities related to AI.
Our active trading strategies both managed to close the month positive despite not owning any technology leaders, however, we still have plenty of catch-up to do as our benchmark remains well ahead of us.
What market environment changes would help fuel more market gains for Merlin and Lamorak? Merlin wants to see the rally broaden out and Lamorak could use more two-way volatility. We’ll see if either of those happens in the upcoming lighter volume summertime trading months.
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