GR_STRATEGIES
The spicy gossip from my trading diary in 2024!
-
by:
Georg Reiter
Dear Friends and Fellow Investors!
Reflecting on 2024, I must say it was both a good and a challenging year—a year where discipline, strategy, and adaptability were put to the ultimate test. The underlying markets, particularly global equities, delivered remarkable performance, with stock indices achieving Sharpe Ratios above 2 and returns over 20%. It’s an enviable return for “buy and hold” strategies but a formidable benchmark for diversified portfolios like mine. Diversification is a double-edged sword: it protects during downturns but can limit outperformance when everything moves upward. However, I remain steadfast in my belief that true risk-adjusted returns require balance, hedging, and exposure beyond traditional markets.
GR_Strategies return
GR_Strategies represents a carefully curated and comprehensive overview of the combined performance of all strategies employed within my portfolio. These strategies are designed to operate cohesively, offering diversification and resilience across a wide spectrum of market conditions. The real-time results since January 2023 highlight the effectiveness and adaptability of this approach.
| Date | GR_Strategies | DAX | SP500 |
|---|---|---|---|
| 0.00 % | -0.43 % | ||
| 1.44 % | -2.50 % | ||
| 18.85 % | 23.31 % | ||
| 42.99 % | 53.19 % |
Performance since start 2023 (EUR):
| GR_Strategies: 44.97 % |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | |||||||||||||
| 2024 |
The August VIX Surge - a Lesson in Volatility:
The August VIX Surge: A Lesson in Volatility The volatility spike on August 5th, 2024, was more than just a headline—it was a defining event. Opening at 20.52 on Friday, the Cboe Volatility Index (VIX) skyrocketed to 65.73 by Monday, reflecting an extraordinary level of market fear and anticipated price swings.
To put this into perspective:
- Annualized Volatility: A VIX of 65.73% means the market expected the S&P 500 to move up or down by 65.73% over the next year.
- Monthly Volatility: This translates to roughly 19% price movement in a single month.
- Daily Volatility: Breaking it further down, daily swings of approximately 4.14% were anticipated—levels of movement rarely seen outside major crises like 2008 or March 2020.
At such extremes, markets demand decisive action, and the systems I trust did exactly what they were designed to do: adapt and protect the portfolio. While “buy and hold” proved the better option in hindsight, it was also the far riskier choice amidst the chaos.
Remarkably, within seven trading sessions, the VIX dropped back to its long-term median—faster than any recorded reversion in history. Such extreme events test any portfolio and portfolio manager, reaffirming the importance of robust systems that can adapt to chaos while positioning for long-term success.
Why GR_Trendfollowing (=CTA) Strategies
remain essential in
my portfolio!
This year reaffirmed my conviction in CTA (Commodity Trading Advisor) strategies which constitutes more than 30 % of my GR_Strategies portfolio. When markets surge, diversification can feel like a burden. But when markets crash—and they inevitably will—CTAs stand tall as a true hedge, offering resilience through uncorrelated returns. It’s this ability to shine in turbulent times that cements their place in my portfolio.
| GR_Trendfollowing: 48.87 % |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | |||||||||||||
| 2024 | |||||||||||||
| 2025 |
To illustrate this focus:
- GR_Trendfollowing (CTA) highlights my renewed dedication to this essential strategy.
- GR_Strategies remains my comprehensive application showcasing the sum of all systems—trend following, volatility strategies, momentum accumulation, and more.
Mission Accomplished
Looking back, I couldn’t be happier: GR_Strategies performed exactly as planned. There was no error, no deviation—mission completed. The performance aligned with long-term expectations, which is exactly what robust, well-tested systems are designed to achieve. Of course, year-to-year comparisons can be tricky. It’s unrealistic to beat every market in every year, and 2024 was no exception. But that’s not the goal. The true focus lies in being ready for more difficult times with the right tools in hand—and this year proved we are well-prepared for whatever the future may bring. What excites me even more are the improvements set to roll out in January, along with some very interesting new developments for the year ahead.
Looking Ahead to 2025
This year’s performance gives me confidence. Not only did the strategies deliver exactly as planned, but we are also well-positioned for the challenges of tomorrow. Improvements set to begin in January and new developments already underway promise an exciting future.
Invitation
I invite you to follow my journey with daily performance updates
and open positions on GR_Trendfollowing:
Here’s to a 2025 filled with resilience, growth, and innovation. I remain focused, grateful, and optimistic—and I thank you for being part of this journey.
With passion and determination,
A Year Without Helmuth Vollmeier
This was also the first full year of development and trading without Helmuth Vollmeier. His spirit, wisdom, and know- how remain everywhere—in every line of code, every decision, and every system we built together. I cannot emphasize enough how deeply grateful I am to have had such a brilliant partner and friend. Developing and trading these strategies we created together is not just work; it’s a privilege and a joy that I carry forward with his memory at the core.