US Sentinel - November 2020 Update
Monday was a rebalancing day for the US Sentinel strategy. All latest 13F have been filled & published on the SEC Edgar website. We took this opportunity to present the year-to-date performance of this portfolio. Since May, much has happen at the SEC. Indeed, there were talks to increase the limit for reporting from 100 mio of AUM to 3.5 bio, which would have killed a strategy such as US Sentinel. Fortunately, the street had the last word and the SEC decided to bail on this proposal.
| Metrics | S&P500 TR | Custom Benchmark | US Sentinel |
|---|---|---|---|
| YTD Return | 14.66% | 13.21% | 35.44% |
| Vol. (annualized) | 36.01% | 37.55% | 36.60% |
| Max Drawdown | -33.79% | -37.19% | -34.88% |
| Sharpe Ratio | 0.55 | 0.51 | 0.99 |
While all strategies have an above average performance - are we really in the midst of the worst crisis since the 2nd world war (Central Banks largess?) - the US Sentinel beats handily the S&P500 TR index and of our Custom Benchmark. The performance is more than 20 percentage points higher than both benchmarks! The volatility and max drawdown are similar, hence the Sharpe ratio is close to double the one of the benchmark.
Note: Our custom benchmark is a portfolio of 50% S&P 500 and 50% Russell 2000, rebalanced quarterly the same day of the US Sentinel rebalancing.
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