Headline result
Net return for the quarter was within the low end of the range we set during the August review. Realised volatility stayed below 9% annualised. We did not adjust the leverage budget after the September check.
Allocation
We reduced participation in two saturated signal families and rotated half of the freed budget into a slower-tempo basket added during research week 41. The remaining capital sits in cash for the next review.
What we are watching
- Liquidity in two of the smaller venues we use for execution
- Crowding in the slow trend bucket that performed well across Q3 and Q4
- A new dataset that arrives in late January, scheduled for the first cohort of out-of-sample tests