Let’s start with a traditional table
The loser of June turned out to be Si, which, due to the filters, continued the unsuccessful “only long” trade. I must say that June was an incomplete month of my trading. On June 20, in the morning, I turned on the robots in the mode of only closing positions, and from 17:00 to 18:00 I closed all the remaining positions and doubled the “synthetic bond” in Sberbank. In Gazprom, despite a little babouthigher yield, taking into account the expected dividends by decision of the Board of Directors, did not increase the position due to the fact that he considered it likely that the general meeting of shareholders would reduce dividends to 10-12%% per annum. Alas, I did not expect the complete abolition of dividends.
As of June 20, the result on the account was -3.6% since the beginning of the month, and I calmly went on vacation: the account could change from -0.7% with a likely decrease in Gazprom dividends to +0.2%, if the dividends were retained. But the reality turned out to be worse than the most pessimistic forecast: dividends were canceled altogether and the result from June 20 to 30 was -1.65%, of which -1.78% fell on June 30.
Why did I turn off the robots? Because my robots turn on in the morning before trading at 10:00 and turn off after trading until 24:00 of the current day. In addition, the verification of the correctness of the prices downloaded from the quick (and the correctness of the orders depends on the correctness of the prices) is carried out visually, and the non-execution or partial execution of the placed orders is corrected by a program launched manually. The latter is done on purpose to exclude an uncontrolled set of positions with more limits and erroneous trades. But no one could guarantee a stable Internet along the way of my journey from 21.06 to 05.07. And therefore, leaving the robots working remotely was a big risk.
What have I “lost”? According to the test with maximum slippage from 20.06 to 06.07, it turned out like this:
What do we see from the table? RI would have beaten off the June loss and even went into plus. But Si has increased losses. The shares “worked on zeros” and would not have recouped even the loss in “synthetics”. And as a result, instead of -1.64% from 20.06 to 06.07, I could get +0.74%. Maybe due to real slippage less than the maximum, the account would add 0.1-0.2%% more, but this is all the lost profit from the non-working robot for 16 days.
As a result of the discussion of the May results, I supplemented them with the results tables for 2022 with only three days missing: February 22, 24 and 25 (I did not intend to trade on the 23rd). I will renew them for June.
As we can see, in this table, the maximum annual drawdown increased in June.
Profitability of the strategy Become a qualified investor! in June was -1.7%. In fact, the entire loss of this strategy in June is a “synthetic bond” in Gazprom for 1 futures contract (! with an account of 100 thousand rubles, a smaller volume is impossible), while on June 20 its yield was + 3.29%.
By tradition, we will publish the composition of the Russian Buffett portfolio in the second quarter:
ALRS, GAZP, LKOH – ¼ each
ROSN, SBER, YNDX – 1/12 each
June also turned out to be a negative month for my komon indices: the Micex Index finished it in the red by 2.9%, and the Global Index by 3.4%. Their result-2022 as of 30.06 since the beginning of the year was:
Gorchakoff Micex Index -6.67%
Gorchakoff Global Index -6.36%
We talked in more detail about the results of individual components of these indices in June and plans for the future at the traditional webinar on July 7th.