Archive | Performance Review

VIX Portfolio Hedging (VXH) Strategy 2013 Performance Review

Monday, January 6, 2014

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In 2013, being maximally long...

Q2 2011 Condor Options Performance Review

Tuesday, June 21, 2011

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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…

Q1 2011 Condor Options Performance Review

Monday, March 28, 2011

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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…

Q4 2010 Condor Options Performance Review

Wednesday, January 26, 2011

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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,…

Q3 2010 Condor Options Performance Review

Monday, October 18, 2010

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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…

Q2 Performance Review

Monday, June 28, 2010

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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…

Q1 2010 Condor Options Performance Review

Wednesday, April 14, 2010

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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…

Q4 and 2009 Performance Review

Monday, December 28, 2009

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The iron condor newsletter returned over 18% in the final quarter this year, versus 3% for the benchmark and market index, and also managed to outperform both the market and our benchmark for 2009. Just as importantly, our maximum drawdown (9%) and standard deviation (5.6%) were nearly identical to those of the market as a whole (9%, 5.7%), indicating that we also outperformed on a risk-adjusted basis. There is a common misconception that an iron condor options spread is…

Some Perspective on Performance

Wednesday, October 7, 2009

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Investors are notorious for chasing performance. If a mutual fund or advisor or trading strategy has done well recently, chances are much greater that traders will commit money to that strategy or product, often independently of the long term performance, general suitability, or distinguishing features of the strategy or product.  I’ve seen the same behavior among the audience for our paid newsletters: after a winning month, new subscribers are more likely to rush in, and if we have a flat…

August Monthly Review

Tuesday, September 8, 2009

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The unrelenting August rally put some pressure on the call side of our iron condor positions. However, we were able to close out the month with flat-to-positive performance for the newsletter trades due in part to our ability to stagger trade entries based on volatility and delta exposure and to size positions on a risk-adjusted basis – both techniques that we teach on the members area of the site. We are nearing the end of the September expiration cycle and…

July Monthly Review

Tuesday, July 21, 2009

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Describing a strategy as “market neutral” isn’t saying much: consider two portfolios, one comprised of carefully proportioned long and short equity positions, the other comprised of short out of the money option gamma. Both can be described as market neutral in the sense that neither portfolio expects or wants to profit from overall market direction. Similarities end about there. I raise this point because one of the orientations that many traders think of when they hear “market neutral” is the…

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Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More

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