Statements for April are now available. It was a fairly lackluster month as realized volatility fell the entire month of April to levels not seen in over a year. To be honest, it was quite shocking to see that given the backdrop of all the macroeconomic uncertainties we’re facing. Good thing for us is we don’t get paid to make heads or tails of it – we just go with the flow and let the systems run. It was actually perfect timing for volatility to subside as we are implementing our automated execution systems at scale – something we’ve been discussing over the last couple of months. The last thing you want when implementing a new system into production is highly volatile markets as the room for error increases. So although we didn’t produce stellar returns we were able to accomplish a great deal with our implementation. That is a win for us.

Below is a chart of realized volatility for S&P 500. You can see if trended down the entire month of April. When volatility is low, two things happen: 1) Our system produces fewer signals which equates to less opportunities and 2) False positives increase. Good news is – our automated execution algos will drastically cut down on false positives. Another win! Let’s see how May plays out.