Research Reports
Portfolio commentary: June 2026
Monthly attribution across our strategies, including the trades that did not work and what we changed as a result.
Polychain Investment Committee6 min read
Performance in June came primarily from the yield sleeve, with directional exposure roughly flat and the venture book unchanged in carrying value.
Attribution by strategy
Yield and basis contributed most of the month's return. Quantitative trading was modestly positive. Directional exposure was a small drag after a mid-month drawdown that recovered by month end.
What did not work
We were early reducing one mid-cap position and gave up part of a recovery. The decision was correct on process and wrong on outcome. We are not changing the rule that produced it.
Risk posture going into July
Slightly lower gross exposure, higher share of return coming from yield, and cash buffers unchanged.
Attribution
Commentary
Risk