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…
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...
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…
Earlier this month, we announced a change in how we're going to publicize the performance of our strategies. Much as a company's performance and the price of its stock can suffer in the long-run as a result of too much focus on short-term performance, we believe that investors do best when they take a long-term perspective...
Tuesday, September 25, 2012
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