Portfolio diversification alone is rarely a sufficient strategy to protect portfolio value, as it can still subject investors to large losses. Combining diversification with quantitative modeling can provide investors with equity-like performance and protection in negative stock performance periods. Quantitative models are used to determine probable stock market direction. The models are predominantly momentum and trend oriented.
Investment Strategy
Diversification is used to create an uncorrelated portfolio of assets. This includes long positions in S&P 500 E-mini futures, 10 year note futures, and gold futures. The system dynamically and systematically adjusts portfolio positions and associated weights. The Macro Equity Hedge strategy combines proprietary quantitative models with diversification to achieve protection and performance.
Proprietary Pro-Forma Returns From Inception (2/1/2016) to Present
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.60% | 0.77% | -0.24% | -0.08% | |||||||||
| 2023 | 4.29% | -4.23% | 4.09% | 0.77% | -0.89% | 2.31% | 2.82% | -2.17% | -0.67% | -0.05% | 2.39% | 1.50% | 10.26% |
| 2022 | -3.45% | -0.95% | 0.76% | -5.07% | -0.10% | -3.48% | 3.19% | -4.58% | -6.19% | 0.34% | 4.38% | -1.68% | -16.09% |
| 2021 | -1.72% | 1.03% | 3.08% | 4.28% | 1.55% | 1.31% | 2.47% | 1.34% | -2.81% | 2.47% | -0.15% | 1.96% | 15.61% |
| 2020 | 0.03% | -5.08% | -14.22% | 3.58% | 1.63% | -2.55% | 6.96% | 6.12% | -4.39% | -2.63% | 9.08% | 4.31% | 0.46% |
| 2019 | 2.57% | -0.21% | 1.45% | 2.26% | -4.33% | 6.41% | 1.50% | -0.22% | 0.64% | 1.12% | 2.36% | 2.05% | 16.38% |
| 2018 | 1.40% | -2.82% | -0.09% | -1.70% | 0.74% | -0.84% | -0.07% | 1.37% | -0.87% | -1.25% | 1.09% | -0.06% | -3.15% |
| 2017 | 0.48% | 2.37% | -0.84% | -0.10% | 0.94% | -0.93% | 1.91% | 1.27% | -1.19% | -0.32% | 0.48% | 0.65% | 4.75% |
| 2016 | 1.14% | 1.36% | 0.39% | 0.57% | 2.00% | 3.24% | -0.96% | -0.17% | -1.78% | -2.79% | 0.39% | 3.29% |
Note: past performance is not indicative of future results
The performance set forth above is for a proprietary account maintained by a principal of County Cork traded pursuant to the Macro Equity Program. The performance has been pro-forma adjusted for a 1% (annualized) monthly management fee and a 10% quarterly incentive fee that would have been charged to a customer account participating in the Program, as well as actual commission and transaction fees, with profits reinvested. County Cork has chosen to use performance of a proprietary account in this presentation as it has continuously operated since inception.