The Condor Options newsletter portfolio returned 2.92% in the second quarter of 2012, marking a new all-time high for the strategy VAMI. The strategy has produced a total return of 119% since inception, compared with returns of -12% for the S&P 500 over the same period and -40% for the CBOE Volatility Arbitrage index.
In May, we marked the five-year anniversary of this newsletter. The performance continues to beat my initial expectations and I’d like to say thanks to our readers and…
The Condor Options newsletter portfolio returned 12.2% in the first quarter of 2012, marking an all-time high for the strategy VAMI. The strategy has produced a total return of 114% since inception, compared with returns of 40% for the S&P 500 over the same period and -42% for the CBOE Volatility Arbitrage index.
May will mark the five-year anniversary of this newsletter. What started out as an attempt to teach traders about different types of advanced options spreads has developed into a…
The Condor Options newsletter portfolio returned 28% in the final quarter of this 2011, compared with 10% for the S&P 500. For the full year, the iron condor strategy beat the index by 4.39 percentage points, returning 2.59% compared with -1.80% for the index.
In the last quarter of the year, we made a major change to the strategy, expanding the scope of option selling trades to include a full suite of underlyings with exposure to U.S. and international stocks,…
Wealthy investors continued to put more money into hedge funds this past quarter—even as those elite funds lost an average of 3.4% in August and 3.7% in September—while the Calendar Options newsletter portfolio, by contrast, saw a return to its historic growth path despite a level of market volatility not seen since 2009. Although we have yet to fully recover from a record drawdown in the second quarter, our process of continually refining the strategy—with our primary focus on risk-management—produced third-quarter results that handily outperformed the benchmark strategies we use for comparison.
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…
Tuesday, September 25, 2012
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