Cumulative Return: Strategy vs. SPY Benchmark
January – December 2024 | Indexed to 100 at start of period
DRC Strategy
SPY Benchmark
April Put Trade
Monthly Return Comparison
Strategy vs. SPY — month by month
DRC Strategy
SPY Benchmark
Tier Contribution to Annual Return
Breakdown of return contribution by tier — full year 2024
Key Market Events & Strategy Behavior
Jan–Mar 2024
AI Rally — Calls Contributing
Nvidia and Mag 7 names extend AI-driven rally. VIX below 15; no put signal triggered. Tier II long calls on researched AI-adjacent names generate meaningful alpha above the broad index. Tier II allocation at upper bound (17%).
▲ Tier II calls outperforming Q1
Apr 2024
Brief Pullback — Quick Profit
Persistent inflation data triggers ~5.5% SPY pullback. Momentum signal briefly crosses threshold; puts deployed April 15. Profits taken quickly as market stabilizes — position not held for a full leg. Net put P&L positive for the month despite short hold.
▲ Puts deployed Apr 15, profit-taken Apr 22
Jun–Sep 2024
Summer Rally & Yen Spike
Fed signals first cut; markets advance. Brief August VIX spike (Yen carry unwind) — puts considered but momentum signal does not trigger threshold. Strategy participates fully in the summer advance with no drag from unnecessary hedges.
▲ Full participation — no hedge drag
Oct–Dec 2024
Post-Election Surge
Post-election rally drives S&P to new highs. VIX drops sharply. No put signal. Tier II call positions in select names participate in the surge. Year-end rebalancing brings Tier II back to 15% ahead of Q1 review.
▲ Full participation, Tier II contributing
Cross-Regime Performance Summary
| Metric | 2022 (Bear) | 2024 (Bull) | Combined | SPY 2022 | SPY 2024 | SPY Combined |
|---|---|---|---|---|---|---|
| Full-Year Return | +5.5% | +27.4% | +34.4% | −19.4% | +24.2% | +0.1% |
| Max Drawdown | −7.2% | −5.1% | −7.2% | −25.4% | −8.5% | −25.4% |
| Sharpe Ratio | 1.12 | 1.68 | 1.44 | −0.31 | 0.91 | 0.22 |
| vs. Benchmark | +24.2pp | +3.2pp | +34.3pp | — | — | — |
| Options Activity | 6 put trades | 1 put trade + call positions |
Active both years | N/A | N/A | N/A |
| Regime Classification | Bear / Transitional | Bull (10 of 12 mo) | Mixed | — | — | — |
Monthly Performance Detail
| Month | SPY Return | Strategy Return | Outperformance | Tier I Contrib. | Tier II Contrib. | Hedge Status | Market Regime |
|---|
Simulation Methodology & Assumptions
Active Management in a Bull Environment
The key difference from a passive hedge model: in 2024, the strategy deploys puts only once (April pullback) and exits quickly at profit when the market stabilizes. Puts are not held through the recovery. The result is a net-positive contribution from the one put trade rather than cumulative drag from holding losers. No put positions are carried into bull regime months.
Tier II Long Calls — Alpha Source
The primary outperformance driver in 2024 is Tier II long calls on researched names — particularly AI-infrastructure-adjacent equities where the thesis was well-supported by earnings and forward guidance. Individual call positions sized at 1–3% of portfolio each, 60–90 DTE, defined max loss. More calls were winners than losers across the year, consistent with the strategy's historical pattern. (Momentum factor: Jegadeesh & Titman, 1993)
Tier I Full Participation
With VIX averaging 14–16 in 2024 and momentum signal predominantly positive, the core SPY/QQQ allocation participates fully in the advance for 11 of 12 months. No unnecessary hedge drag reduces core returns. Cash reserve maintained at ~10% provides flexibility without creating significant opportunity cost in a low-yield environment.
Regime Tagging — 2024
Ten of twelve months classified Bull; April and August Transitional. Tier II allocation maintained at 15–17% in Bull months to maximize call position contribution. No month classified Bear; put deployment threshold not met except briefly in April. Reentry after April profit-take not triggered — signal did not confirm continued downside. (Faber, 2007)
SIMULATION DISCLOSURE — All performance data presented on this page is the output of a quantitative simulation model applied to approximate historical market conditions for calendar year 2024. Results do not represent actual investment performance, actual trading activity, or the performance of any real portfolio or account. Benchmark returns reflect approximate S&P 500 total return index performance and are provided for contextual comparison only. Simulated results are subject to known limitations including but not limited to: simplified option cost modeling, regime classification with benefit of hindsight, and absence of transaction costs, taxes, bid-ask spread, or slippage. Actual results would differ materially. Dazu Rock Capital is a demonstration vehicle for analytical and educational purposes only. This is not investment advice.