Welcome to the July 2024 performance update from Sterling Alpha Group. This month, we delve into the performance of our key strategies, Sterling Gamma Goblin and Sterling Sage, while providing insights into our ongoing research and strategic adjustments.

Performance Overview

Gamma Goblin
The Gamma Goblin strategy recorded a modest decline of -0.88% this month, performing better than the QQQ index, which fell by -1.68%. This relative outperformance highlights our strategy’s ability to limit drawdowns during market declines. Since its inception, Gamma Goblin has outperformed the QQQ by 6.1%. This achievement underscores the robustness of our strategy in managing volatility and delivering stable returns.

Sage
Sterling Sage achieved a gain of 1.66% in July, outperforming both the GVIP at 0.56% and closely matching the SPY’s rise of 1.60%. Although still under evaluation, our testing has shown that Sage should reduce drawdowns during market declines. We are optimistic that this performance will hold once the market is tested. Sage has the flexibility to move into cash and does not require being long 100% of the time. Currently, Sage is underperforming the GVIP by 7.40% and the SPY by 0.80% since inception. Additionally, we have reduced some positions given the performance of certain securities to ensure optimal asset allocation, driven by our risk mitigation algorithm.

Strategic Insights

Our quantitative, algorithm-driven approach continues to guide our investment decisions. We operate with independent strategies, each designed to optimise specific market conditions and objectives. Eventually, we aim to optimise the joint portfolio, leveraging the strengths of each strategy to enhance overall performance and resilience.

Research and Development

On the research front, we are nearing the completion of our asset allocation strategy development. Our findings indicate that most academic models do not perform as well out of sample. Consequently, we employ a diversified approach, weighting multiple models to enhance robustness. This strategy allows us to adapt swiftly to changing market conditions, maintaining our commitment to quantitative excellence.

Future Outlook

Looking ahead, we remain focused on leveraging our innovative strategies to capture opportunities and mitigate risks. As market conditions evolve, our dynamic approach ensures that we are well-prepared to navigate uncertainties and deliver sustained value to our investors.

Leveraging Technology

This update was crafted with the assistance of a large language model (LLM), enhancing our productivity and allowing us to focus more on strategic decision-making. The integration of advanced AI tools underscores our commitment to leveraging technology for operational efficiency and innovative solutions.

Thank you for your continued trust and support.

Best regards,
Derek
Sterling Alpha Group