Before you begin, remember that you have an index with the newsletter content organized by clicking below.
What changed this month
From now on, I will regularly share the evolution of two systematic portfolios built around very different market behaviours. Rather than focusing on individual securities in the commentary, each update will concentrate on the portfolio process, its current state and how the strategy is behaving over time.
The accompanying reports will show the latest performance, drawdowns, positioning, signals, and scheduled actions.
Short-term mean reversion
The first system is a short-term mean-reversion strategy designed to capture temporary price dislocations. After each completed market session, the model reviews its eligible universe and applies a series of market-quality filters before considering a new opportunity.
Rather than entering immediately, the strategy waits for price to move sufficiently below the signal close. The required entry level is determined relative to recent volatility, allowing the definition of a meaningful short-term dislocation to adapt to changing market conditions.
Monthly momentum rotation
The second portfolio follows a slower-moving momentum approach designed to capture persistent relative strength. The portfolio is reviewed monthly. Eligible securities must remain above their long-term trend and rank among the strongest positive-momentum candidates in the investment universe.
Portfolio weights are then adjusted through a volatility-targeting framework, allowing overall exposure to respond to changing market conditions rather than remaining permanently fixed. Positions are maintained until the next scheduled rebalance changes the allocation or the broader market regime shifts away from risk exposure.
Together, the two reports provide a complete view of how the portfolios are behaving across different market conditions. Momentum seeks to remain exposed to persistent relative strength, while mean reversion looks for shorter-term dislocations within a filtered Nasdaq universe.