Trading Systems Performance for September 2022
Below is a performance summary for our fully rules-based trading systems for the month of September 2022. To learn more about these systems and to follow along in real-time with their signals, check out our Trading Systems page.
September markets at a glance
| Market | September | Year to Date |
|---|---|---|
| S&P 500 ($SPX) | -9.24% | -23.98% |
| 10-Year Treasury (IEF) | -4.73% | -15.68% |
| 60/40 Portfolio (SPY/IEF) | -7.44% | -20.63% |
Trading system performance
| System | September | Year to Date |
|---|---|---|
| Trade Risk Index | -4.36% | -14.59% |
| Merlin System | -1.74% | -21.14% |
| Lamorak System | -7.00% | -8.25% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Trading system commentary
September was a rough month for the stock and bond markets falling 9.24% and 4.73% respectively. The 60/40 portfolio traded down to new lows for the year (-20.63%) making it one of the worst performing years ever.
Similarly, the Trade Risk Index had one of its largest monthly declines in quite some time (-4.36%). Merlin wasn’t so much the problem, it held minimal long positions, and reduced exposure throughout the month.
However, Lamorak, had its worst monthly decline in 2022 due primarily to its long utility exposure in the second half of September. Utility stocks seen below (XLU ETF) suffered a near 12% decline, which was one of the worst performing months in the past few decades.
Both systems continue to behave as expected given the current market conditions, meanwhile the TR Index continues to outperform on a relative basis versus its 60/40 benchmark and S&P500.
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