Who wrote this article?

Sandeep Rao, Capitalmind's research team.

What topics does this article cover?

Capitalmind Chase, Capitalmind Factsheet

Mayhem of March'21 | CM Chase monthly update

8 Apr 2021Sandeep Rao2 min read

Quick Facts

What is "Mayhem of March'21 | CM Chase monthly update" about?
What category is this article in?: Premium Portfolio
Who wrote this article?: Sandeep Rao, Capitalmind's research team.
When was this article published?: Published 8 April 2021.
How long does this article take to read?: 2 min read
What topics does this article cover?: Capitalmind Chase, Capitalmind Factsheet
What does the "Returns Update" section say?: After a phenomenal first two months of the calendar year, the whipsaws of March almost obliterated our accumulated profits. Read more about this month's whipsaws and how often they happen over here.
What does the "Summary of this month’s activity" section say?: We closed 11 trades this month, 3 of which were long. Overall on the active component we captured cost us -992 points.
What does the "**Our biggest winners and losers**" section say?: Lets start with the bad news first, our biggest loss making trade which lost -185 points (-1.22%) and the biggest winner made 143 points (0,97%) but in total we lost -1164 points and gained just about 172 points.
What does the "Open Positions" section say?: We currently have an Open Long Position initiated at 14873 APR Futs

Mar 2021 monthly update for the Capitalmind Chase Portfolio

Returns Update

After a phenomenal first two months of the calendar year, the whipsaws of March almost obliterated our accumulated profits. Read more about this month’s whipsaws and how often they happen over here.

NIFTY just moved up 1% in the month of March’21, with an average intraday range that was close to 1.6%. What that means is, we chopped around all through the month, whipsaws as they say, and had one of the longest losing streaks ever since we went live. More about whipsaws and the damage they can cause over here.

We lost close to 1000 points (7% on notional) on the active component and are up just 1% on the passive, which if you consider from the beginning of the calendar year makes it 6% down for Chase, which for a conditionally levered strategy is still okay.

Overall performance summary since inception

Summary of this month’s activity

We closed 11 trades this month, 3 of which were long. Overall on the active component we captured cost us -992 points.

One should also note March’21 was a particularly directionless month compared to last one years monthly moves. Not that such a low rate of change is an anomaly, such low volatility months constitute close to 25% of months in the past 12 years data.

Our biggest winners and losers

Lets start with the bad news first, our biggest loss making trade which lost -185 points (-1.22%) and the biggest winner made 143 points (0,97%) but in total we lost -1164 points and gained just about 172 points.

Such drawdowns historically have taken anywhere between 2 to 3 months to recover if considering Chase and may go upto 5 months if we consider the futures only component.

Open Positions

We currently have an Open Long Position initiated at 14873 APR Futs

Relevant Reading:

Introducing the CM Chase Strategy

Chase Feb’21 Factsheet

Other Portfolio Fact Sheets:

CM Momentum March 2021 Update

And a revamp to our long-term Multicap Portfolio:

New Approach, New Identity: The CM Focused Portfolio

For any further questions, write to us at premium [at] capitalmind [dot] in or on twitter @capitalmind_in