May was the first month in quite some time where we saw several positions in the ETF Trend Options portfolio get stopped out, as markets plunged sharply over a short period of time. Those of you who are avid readers of quantitative and trading strategy research and blogs may have noticed that this also coincided with analysts pointing out the “abnormal” nature of the price movement relative to historical data.
This adverse situation provided a good test of how our strategy would fare against the broad market. The ETF Trend Options strategy portfolio fell by 2.96% from April options expiration to May expiration, inclusive of all commissions and slippage. This compares favorably to the S&P 500 return over the same period of -5.95%. An updated equity curve is attached below.