Citrindex Performance Update

A Short Update on a Crazy Week

Sayonara, 2023

Adjustments to Core Portfolio this Week:

On Wednesday, I alerted subscribers to reduce the size of our Interest Rate Hedge Basket by 1/2:

The last time the portfolio was rebalanced was November 7th, and since then our collection of options and futures that were designed to capture a rally in rates went up 510%…

So I’ve rebalanced the portfolio and reduced the since we increased the allocation, has brought the portfolio above 50% since inception.

The major contributors since the last update were our long NET & CRWD/short OKTA position, our bond calls and euribor h4h5 spread short & AAOI from the AI basket.

AAOI is now up 772.5% since I first wrote about it on May 31st:

and 180% since I advised our institutional clients to bring AAOI back up to a full size position:

Just keeping everyone updated, as far as the positions that aren’t working, China is still so-so but I am holding on to it as our basket is still hanging in there.