Strategy 21B2
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Structure and operation
The 21B2 strategy is a concentrated strategy that holds two ETFs at a time in order to favour growth while controling volatility. It draws from a restricted universe of asset classes, which allows it to capture strong trends followed by periods of consolidation. Since 2016, its return curve has evolved in steps, with a more volatile profile due to the presence of leveraged ETFs.
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| Performance (2016-2025) | 21B2 | S&P 500 |
|---|---|---|
| CAGR | 55.06% | 14.66% |
| Standard Deviation | 55.61% | 15.12% |
| Best Year | 319.53% | 31.33% |
| Worst Year | -1.94% | -18.23% |
| Maximum Drawdown | -17.73% | -23.95% |
| Sharpe Ratio | 0.95 | 0.84 |
| Sortino Ratio | 4.01 | 1.31 |
| Benchmark Correlation | 0.12 |
| Annual Returns | 21B2 | S&P 500 |
|---|---|---|
| 2026-03-31 | 14.36% | -4.37% |
| 2025 | 43.65% | 17.71% |
| 2024 | 21.38% | 24.84% |
| 2023 | 14.07% | 26.11% |
| 2022 | -0.77% | -18.23% |
| 2021 | 45.22% | 28.53% |
| 2020 | 105.46% | 18.25% |
| 2019 | 73.35% | 33.31% |
| 2018 | -1.94% | -4.52% |
| 2017 | 319.53% | 21.67% |
| 2016 | 91.31% | 11.82% |
The exceptional returns of 91% (2016), 319% (2017) and 105% (2020) come from Bitcoin ETFs that benefited from spectacular rallies during those years. Since 2021, returns have been more moderate, even though Bitcoin recorded strong gains in 2023 and 2024. Certain parameters of the strategy have dampened the impact of this recovery on overall performance.
Behaviour during periods of crisis
In the first quarter of 2026, in the context of the war in Iran, the S&P 500 posted a return of −4% while 21B2 gained 13%, a gap of 17% in three months. In March 2026, 21B2 held TMF and XLE.
On April 8, 2025, following the announcement of Trump's tariffs in the United States, the S&P 500 had declined −15% while 21B2 showed a positive return of 4%.
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In 2022, the S&P 500 finished the year with a loss of −18%, while 21B2 generated a return of −1%, a gap of 17 percentage points. During that period, its return curve remained more stable than that of the index.
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Origin of the strategy
The 21B2 strategy is a derivative of the 21 series, initially developed in November 2020 in order to integrate Bitcoin ETFs into my trend following strategies. Since 2018, I had been unable to integrate Bitcoin due to a return curve that does not present a true momentum profile — that is, the profile of an asset that moves with a certain inertia over an extended period without erasing its gains. Bitcoin reminds me of the behaviour of certain penny stocks, with volatility spikes triggered by a lack of liquidity following a corporate announcement.
I closely monitor the rolling 5-year annualized return of 21B2 because the trajectory follows a descending staircase pattern with return plateaus declining from 80% to 40% and then to 20%. This decline stems from the gradual erosion of the explosive Bitcoin return years and signals a strategy in decline. It nonetheless remains profitable at times when other strategies are not in a performance phase.