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...
Thursday, September 3, 2009
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In the August cycle we again disproved two misconceptions: 1) that a market-neutral approach can’t perform well in a trending market, and 2) that a positive-vega strategy won’t profit in an uptrend. By combining position-level adjustments with portfolio-level risk-management, we outperformed the market in terms of our average return per trade, and booked a model-portfolio return (which is based on a cash allocation sufficient for three trades, including adjustments) that would earn most fund managers their six-figure bonuses. If we discount…
Saturday, July 4, 2009
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Our positions for the June cycle were like Dr. Jekyll and Mr. Hyde. In general, it was another difficult month, in terms of falling implied volatility and, in the case of our IBM trade, an uptrend culminating in a whipsaw—but we still managed to break even: hitting the target profit for our SPY position made up for our IBM loss. And even though we underperformed the market for the month, we’re still outperforming handily over the long-run. Performance Comparison S&P 500: +4.34% Dow…
Thursday, May 28, 2009
In Part I, our Performance Comparison for May showed an average return per trade of 6.40%, with a model portfolio* return of 5.13%—compared to the S&P 500's gain of 1.53%. Here are the trades that got us there:
Tuesday, January 13, 2009
(Note: The following is adapted from a two-part series on managing volatility risk, originally published on the Calendar Options members blog. Calendar Options subscribers have access to the full version, as well as Part II, “Putting the Double-Diagonal to Work”.) Much like an iron condor combines two directional trades into a neutral one, a double-diagonal marries a bull put diagonal and a bear call diagonal to form a hybrid between an iron condor and a calendar spread. To a condor trader, it’s…
Thursday, October 29, 2009
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