The Calendar Options newsletter continued its positive trend in the fourth quarter, giving us our best return to date. Our model-portfolio¹ return for the quarter exceeded 40%, bringing our total return for 2009 (not including the cost of commissions) to 55.62%. The maximum drawdown, standard deviation, and number of months positive for the newsletter model portfolio were all comparable to the S&P 500.
As Jared explained in the Condor Options Q4 and 2009 Performance Review, we’ve reduced the frequency of our reviews so as not to encourage readers to focus on short-term performance. Just as it’s important for traders not to let a short-term loss cause them not to trade the next month, it’s also important not to let a short-term gain set unrealistic expectations. For Calendar Options, the November and December cycles represent the kind of returns we can achieve in good months, and we expect to have plenty of good months in the future—but we will also have less profitable months, as well as occasional losses. What matters is long-term performance and risk, and our record, both for 2009 and since inception, shows that our market-neutral calendar-spread strategy has significantly outperformed our benchmarks, even on a risk-adjusted basis and even through times that include periods of high market volatility and strong trends.
One more thing before we get to the detailed performance data: For anyone who might have missed our announcement extending the Calendar Options Charter Member Discount through last week, we’re going to make it available for one more week. So you still can get the $99/month rate, good for as long as you continuously renew your membership, through next Saturday. But this is the last extension we’ll offer for this program—after 11:59pm est on January 23, it will be gone for good. You can get your no-obligation Charter Member Discount code by submitting your name and e-mail address via the form.
The table below (click to enlarge) includes Calendar Options performance data for the fourth quarter, for the year 2009, and since inception. We’re now including the CBOE Volatility Arbitrage Strategy Benchmark (VTY), because we believe it represents a more comparable strategy than either simply being long the S&P500, or other benchmarks we’ve used in the past. The table is followed by a graph of our returns since inception, compared to these two benchmarks.