ΣL September 2023 Results & October Preview

The Sigma-L portfolio saw a nominal loss of 195.49% (normalised -31.84%) in September 2023 via 49 trades. We also look at October's schedule, where we will be updating 44 reports across the month

ΣL September 2023 Performance

Covering trade reports posted in September 2023 on Sigma-L.
View the full trade list and details in Google Sheets

Headline Numbers

Sigma-L Nominal vs Benchmarks - September 2023

S&P 500 (-4.84%): -190.65%
Gold (-4.70%): -190.79%
WTI Crude Oil (8.80%): -204.29%
Bitcoin (4.62%): -200.11%

Monthly Breakdown

Main outlier losses over September are from Tech Stocks (-21.69%) and Uranium related instruments (-80.55%). The latter experiencing a tremendous bullish surge from the large component which troughed in April this year. Notable gains are from the VIX (20.11% via 75 day component) and in Oil (10.28%). Normalisation of metals (removing correlations) brings losses down from 99.12% to 4.96%.