The Condor Options newsletter portfolio returned nearly 16% in the second quarter of this year, compared with -0.60% for the S&P 500. The newsletter is also more than six percentage points ahead of the index year to date. Finally, the newsletter portfolio reached a new all-time high in June, something that few indexes or assets can claim.
I noted in my last quarterly update that I expected more periods of sideways price action in the rest of 2011, and so…
Traders who rely on mean reversion have witnessed some very frustrating periods over the last couple of years, and no tinfoil hats are required to see that Fed POMO operations have had a substantial reflationary effect on equity markets. I am not confident that equities will continue to rally aggressively in the absence of dramatic quantitative easing programs – ending in June, or possibly sooner – and in the face of high energy and food prices. The push for…
What's interesting about the Calendar Options newsletter's fourth-quarter performance isn't so much the significant, but tolerable, quarterly loss, or even the record drawdown in November (any strategy will experience outliers, both positive and negative)—but rather the strategy improvements that we developed in response. We pinpointed what went wrong in November, applied some hedging techniques we've been experimenting with for months, and backtested the strategy adaptations for the past 15 months...the results were astounding....
In last quarter’s review, I mentioned two things: that we were adding a dynamic delta hedging component to the official newsletter strategy, and that after the newsletter’s underperformance in Q3, the long-term historical record for the strategy suggested that it was actually an optimal time to increase exposure. Happily, that expectation turned out to be true, and the delta hedging component had a very positive effect on performance. The strategy returned 5.67% in the last quarter of the year (and,…
In addition to the regular performance data, I have a couple of interesting items to comment on for this quarterly review. First: for anyone who thinks that global equity markets may have some choppy periods ahead, this is an excellent opportunity to start thinking seriously about the role non-directional strategies should play in your portfolio. Second: we’ve added a dynamic delta hedging component to the newsletter to improve the purity of our volatility trading and to reduce unwanted…
Considering the spike in implied volatility during the July options cycle, followed by an equally sharp drop—and then by another significant rise in August and fall (no pun intended) in September—it was relatively smooth sailing for our Calendar Options newsletter in the third quarter. We continued to outperform the S&P 500 and keep a respectable pace with the VTY. Our returns since inception and for the trailing twelve months continue to overwhelmingly outstrip those benchmarks, with comparable risk on a…
The Calendar Options second-quarter return trounced the S&P 500 as well as VTY (link below). Our Model Portfolio return was 15.46%, compared to –3.65% for the S&P and nearly –4% for VTY. Overall, market conditions differed little from the first quarter, so it looks like our latest strategy refinements are proving successful. Nevertheless, we continually use feedback from our monthly, quarterly, and annual results to improve the strategy and adapt it to long-term changes in market conditions (more about this…
The iron condor newsletter returned 6.44% in the second quarter this year, easily beating both the Volatility Arbitrage benchmark (-3.97%) and the S&P 500 (-3.65%), with a lower maximum draw-down for the year and superior 1-year rolling returns. The newsletter portfolio value made a new all-time high.
Although our strategy is almost entirely rule-based, every strategy ultimately requires human input, even if it is at a high level of decision-making. In the case of mechanical or rule-based strategies, perhaps…
“A smooth sea never made a skilled mariner,” goes the proverb, and we've sailed some rough waters in the relatively brief history of our calendar-spread newsletter. As Jared noted in his review of Condor Options performance for the first quarter of 2010, we've demonstrated time and again that market-neutral strategies can and do work in all kinds of markets. Nevertheless, some environments are more challenging than others, and the measure of a strategy depends as much on how it performs when the going gets tough as when the market hands us an “easy” month...
The iron condor newsletter returned about 4.3% in the first quarter this year, slightly beating the 4.2% return for the VTY benchmark. The newsletter did not outperform the S&P 500 on either an absolute or a risk-adjusted basis, which, based on the prior history of this strategy, says a bit more about the market than it does about us. In the review for Q4 2009, I mentioned the most common misconception about iron condors, namely that they are…
Wednesday, May 8, 2013
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