June – Research & performance reporting

During this month of June, we have experienced a relatively low volatility level, with limited new idiosyncratic information able to impact the overall investment journey of the US strategies. The main sectors generating a positive performance have been Healthcare, Energy and Consumer Staples, while Industrials, Info Tech and Materials had a rather negative contribution.

What we tend to see is that the earnings announcement periods currently have a noticeable impact on performance, while the periods in-between such events are flat or close to flat.

  • During this month of June, it is not the largest positions in the portfolio that impacted the performance results, but rather the bulk of the holdings.
  • Given some intraday movements, the monthly performance has been quite sensitive to when during the day, the performance has been measured. In this analysis, we work on the basis of prices on close.

Obviously, these theoretical strategies are presented gross of any cost & fees and assuming stock avalaibility as well as no slippage. Returns are logreturns.

The long strategy on a steady track

Price based – ex dividends SP500 Long
Year to end of June 7.92% 13.59%
June 0.48% 1.65%

The long strategy on a steady track

Long-Short Price based
Year to end of June 5.05%
June 0.37%

We are available to discuss with you our work : contact@bramham-gardens.com