We thought this week, we could talk a little bit about the performance of GTC Traders portfolio. Share a few highlights now that we are more than halfway through the year.
And as the title of this article suggests, we are also sharing a new feature we will have for premium members of GTC Traders.
First … let’s review the portfolio a bit …
GTC Traders Sample Portfolio
Remember … we run a multi-strat portfolio. And before we get too much into the specifics … it’s important for new and aspiring traders to know there is something we refer to in the industry as a ‘return profile’. In other words, what is the ‘personality’ and characteristics of the returns of a particular portfolio?
You can have ‘linear’ return profiles. And ‘absolute’ return profiles.
In an ‘absolute’ return profile, the manager seeks to simply “win the game” with the highest nominal numbers humanly possible. They aren’t trying to manage a smooth ride or shelter investors from volatility; they are chasing raw, unadulterated performance. The goal is to print massive absolute gains by taking aggressive, high-conviction swings. Volatility is just the price of admission for attempting to capture the biggest numbers on the board.
The ‘Absolute’ Returns of Vanguards VIGRX Mutual Fund
For a ‘linear return profile, the manager is attempting to achieve a remarkably high Sharpe ratio. Because suppressing volatility is the only mathematical way to achieve a higher Sharpe Ratio, the manager’s primary focus is on smoothing out the ride. They are hunting for low-volatility, highly consistent gains to construct a return stream that climbs in a beautiful, predictable, straight(ish) line.
Which one is ‘better’?
That’s not the right way to think about it. It’s more a matter of ‘what do you want to achieve’?
For the GTC Sample Portfolio at the present time, we are aiming for a ‘linear’ return profile. And it should be stated and stressed that the mandate of the portfolio does not keep us permanently ‘stuck’ seeing the lower percentile returns indicative of a ‘linear’ return profile. We have a heuristic that will cause us to ‘shift’ from linear … to absolute … and back to linear again depending on the larger periodicity market regime. A heuristic that seems to have worked well for the last 120 years, so we are rather confident not only in our performance? But in our ability to produce performance wherein we aim for linear returns during markets in which we feel are in a bubble, so as to protect the linearity of our returns against downside deviations, and absolute returns when markets are ripe with value.
As we have stated, since 2023, we are aiming for ‘linear’ returns. So how have we done? Let’s look at a few highlights. First, the total portfolio, will all of the programs running together. The multi-strat en totum …
Remember … that is the total portfolio, comprised of three different accounts (The Equity Fixed Income Hybrid Core, the Long-Short Valuation Account, and the Short-Term Trading Account). It is a multi-strat portfolio, presently seeking linear returns. And the above is about as linear as one could hope for. In a higher interest rate environment (in which is is more difficult mathematically to produce a higher Sharpe Ratio) … we have achieved a Sharpe of 1.08.
But of real note, is that the non-target return Sortino Ratio has hit 3.93. Anything above 2.0 to 3.0 is usually considered excellent and top tier performance.
When you start printing Sortino ratios that are above 3.0? These are typically achieved by elite institutions. Printing a Sortino ratio above 3.0 is considered so good, that it is either considered ‘Legendary’ … or it’s under suspicion. It’s so difficult to achieve that many begin to suspect the manager is doing nothing but selling OTM options and the program is hiding a tremendous amount of gamma risk. And as premium members of GTC Traders will tell you? That is not the case here. Simply a blend of well thought out individual models and programs.
We have decided … for the regime in which we have found ourselves … to have a linear return profile. And we simply returned, what we were aiming for. And beyond that, with world class performance.
Then? We have our ‘beast’ of the account of the Equity Fixed Income Hybrid Core. An account whose objective is not higher returns, but … seems to be doing so anyway …
At the present time, despite not attempting to ‘beat’ the S&P 500 Index, we have returned 13.17% to June of 2026 … to the S&P 500’s 9.55%. We have accomplished this with a maximum drawdown only 0.21 times the annualized return (anything under 2x is rare to see), a Sharpe of 0.94, and a Sortino Ratio of 5.81. In fact, our Sortino is so outstanding … that our Sharpe Ratio is actually being punished because of upside volatility.
Yes … for those of you who are new performance metrics? Your upside volatility can become so good, that your Sharpe Ratio is actually punished as it seeks to punish any volatility. Even upside vol. Which … is exactly we feel that Sortino is a better measurement of performance.
And this is in an account, where we hold the assets for long, long periods of time. There is no ‘cheating’ with ‘coulda / shoulda / woulda’, as any premium member will tell you. A tiny $28,000.00 account that is liquid, and producing income that is twice the price of the monthly premium service.
And our Long-Short Valuation Account? It doesn’t look like much to the untrained eye … but one phrase on the grid should jump out to anyone with experience …
As the title of that grid suggests … it has been ‘short-only’ since November of 2023. It will not always remain a ‘short-only’ account. In an environment like 2010, this account model was buying every undervalued stock it could seek to find. But since November of 2023, this account has been short-only.
In a raging bull market.
We’re not aware of any short-only fund … doing this well. But if you are aware of any … please … let us know. We would legitimately and honestly love to review any such fund. Most short-only accounts purposefully ‘bleed and hemorrhage’ money intentionally shorting to work as a non-correlative ‘buffer’ to a larger parent account.
So we have a larger parent account that is beating the S&P 500 Index (although that is not even the objective), and a short-only (for now) account, that is providing positive returns.
We do doubt that we will be able to maintain this extreme level of performance indefinitely into the future. Even a moderately positive or flat period … will pull those performance metrics back somewhat. We’ve been on a pretty good tear.
But we will always be aiming for this level of excellence.
GTC Traders Premium Member Feature
We are pretty pleased with the performance thus far. And we were thinking …. what about sharing some of our good performance with premium members of GTC Traders?
So moving forward?
We are introducing a performance-backed feature that aligns our business goals directly with our screen performance. We don’t just want to excel and managing the portfolio; we want to deliver a standard of excellence as a company too.
If the total GTC Sample Portfolio experiences a down month in any particular calendar quarter? We may choose to refund premium members their service subscription for a single month. After all, in any fund, strategy or model … drawdowns are an absolute fact of life.
So in order to keep things realistic and mathematically sustainable; if we hit a tough market regime and log two or three months of drawdowns in the exact same quarter, only a single month premium fee may be refunded.
We are not aware of any other service … that does this.
The philosophy here is simple.
If we aren’t delivering the steady growth in the portfolio that is our objective, we want to share that downside with you.
Until next time, stay safe and trade well.
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What is “Read the Report” ? Find an overview of the service at the link of this video entry !!
Subscribe now to become a Premium Member and following along on a live Multi-Strat Portfolio !!
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