Kasprowy
A Portfolio of Strategies Designed to Beat the S&P 500
Kasprowy is a systematic trading portfolio combining three distinct strategies that aim to generate consistent returns while outperforming traditional equity benchmarks. The portfolio is currently in forward testing since November 1, 2025, and has delivered strong early results across varying market conditions.
Weekly Performance (Nov 1 - Dec 24, 2025)
| Week | SPX Kaspr (2x) | SPX Index | Nikkei Kaspr (1x) | Nikkei Index | ZN-UB RV (2.5x) |
|---|---|---|---|---|---|
| 11/03 | +1.23% | -2.03% | +2.07% | -3.86% | -0.02% |
| 11/10 | +3.23% | -0.98% | +1.48% | -0.53% | -1.16% |
| 11/17 | -2.02% | -1.78% | +1.89% | -3.29% | +0.00% |
| 11/24 | +6.69% | +2.84% | +2.59% | +2.32% | +0.00% |
| 12/02 | +1.94% | +0.83% | +5.15% | +0.34% | +0.00% |
| 12/08 | +0.49% | -0.76% | +0.49% | +0.38% | +1.22% |
| 12/15 | +0.31% | -0.40% | -2.13% | -1.68% | -0.01% |
| 12/22 | +0.76% | +0.88% | +1.60% | +0.65% | +0.22% |
| TOTAL | +12.63% | -1.39% | +13.14% | -5.67% | +0.26% |
Key Highlights
- SPX Kaspr (2x leverage): +12.63% vs SPX Index -1.39% (outperformance: +14.02%)
- Nikkei Kaspr (1x leverage): +13.14% vs Nikkei Index -5.67% (outperformance: +18.81%)
- ZN-UB RV (2.5x leverage): +0.26% (uncorrelated bond relative value strategy)
The Strategies
SPX Kaspr
A directional strategy on the S&P 500 that takes overnight and intraday positions based on volatility regime signals. The strategy includes protective filters to avoid trading in unfavorable market conditions. Trades at 2x leverage.
Nikkei Kaspr
Applies similar volatility-based signals to the Japanese equity market. The strategy captures overnight gaps and intraday momentum in the Nikkei 225 index. Trades at 1x leverage.
ZN-UB Relative Value
A bond spread strategy that trades the 10-Year Treasury (ZN) vs Ultra Bond (UB) spread based on momentum and volatility signals. This provides portfolio diversification through uncorrelated fixed income exposure. Trades at 2.5x leverage.
Combined Portfolio
The Kasprowy portfolio combines these strategies to provide:
- Equity exposure across US and Japanese markets
- Bond market diversification through the RV strategy
- Systematic, rules-based approach with defined entry/exit signals
- Risk management through protective filters and position sizing
This diversified approach aims to generate consistent returns across different market regimes while limiting drawdowns through strategy diversification.
Note: The strategies are currently being forward tested with live market data. Past performance during the testing period does not guarantee future results.