Mar 2021 monthly update for the Capitalmind Chase Portfolio
Returns Update
After a phenomenal first two months of the calendar year, the whipsaws of March almost obliterated our accumulated profits. Read more about this month’s whipsaws and how often they happen over here.
NIFTY just moved up 1% in the month of March’21, with an average intraday range that was close to 1.6%. What that means is, we chopped around all through the month, whipsaws as they say, and had one of the longest losing streaks ever since we went live. More about whipsaws and the damage they can cause over here.
We lost close to 1000 points (7% on notional) on the active component and are up just 1% on the passive, which if you consider from the beginning of the calendar year makes it 6% down for Chase, which for a conditionally levered strategy is still okay.
Overall performance summary since inception
Summary of this month’s activity
We closed 11 trades this month, 3 of which were long. Overall on the active component we captured cost us -992 points.
One should also note March’21 was a particularly directionless month compared to last one years monthly moves. Not that such a low rate of change is an anomaly, such low volatility months constitute close to 25% of months in the past 12 years data.
Our biggest winners and losers
Lets start with the bad news first, our biggest loss making trade which lost -185 points (-1.22%) and the biggest winner made 143 points (0,97%) but in total we lost -1164 points and gained just about 172 points.
Such drawdowns historically have taken anywhere between 2 to 3 months to recover if considering Chase and may go upto 5 months if we consider the futures only component.
Open Positions
We currently have an Open Long Position initiated at 14873 APR Futs
Relevant Reading:
Introducing the CM Chase Strategy
Other Portfolio Fact Sheets:
And a revamp to our long-term Multicap Portfolio:
New Approach, New Identity: The CM Focused Portfolio
For any further questions, write to us at premium [at] capitalmind [dot] in or on twitter @capitalmind_in
