EVALS: The First Two Months

I have received a number of requests for more information about EVALS and since today marks two months since I launched the service, it seems like an appropriate time to fill in some of the blanks.

As EVALS is a volatility-based system, it has been challenged by some of the recent unprecedented volatility extremes. I was pleased to note, however, that last Thursday EVALS used several volatility signals to enter multiple new aggressive long positions. These positions have been quite profitable and are in large part the reason why EVALS is significantly outperforming the S&P 500 index this month.

In the two months since EVALS was launched, the volatility-based ETF trading approach has entered a total 17 trades, 10 of which have been closed (3 winners; 7 losers) and 7 of which are still open (5 winners; 2 losers). These 17 positions cut across a large cross-section of ETF investment opportunities and have included long and short positions in:

• sectors (OIH, XHB, XME, PBW, KBE, IBB)
• countries (EWT, EWH, EWZ)
• broad-based indices (QLD, UWM)
• bonds (TLT, LQD)
• currencies (FXA, UDN)
• commodities (DIG)
• real estate (URE)

The graphic below summarizes performance for EVALS and the S&P 500 index for the post-launch portion of August, the full month of September, and October through the 20^th. In short, EVALS lagged the SPX by 3.34% in the last 10 days of August, but beat the index by 2.90% in September and is ahead by 5.33% in August. The aggregate performance since inception shows EVALS down 17.77%, but 4.70% ahead of the SPX, which has lost 22.47% during the same period.

If anyone has any questions about EVALS, please feel free to email me at bill.luby@gmail.com

VIX and More EVALS (ETF Volatility Analysis Long/Short)

One of the reasons why I have gravitated to a volatility-based trading system is that it offers many ideas that are uncorrelated to other strategies and approaches.

EVALS is a trading approach which draws upon volatility-based indicators to trigger entries and exits. By volatility-based I mean price volatility, volume volatility, volatility implied from options pricing models, and other aspects of volatility that might stretch the traditional concepts associated with “trading volatility.” EVALS focuses entirely on optionable ETFs (mostly the top 50 or so, but occasionally including the top 100.) It covers five asset classes: stocks; bonds; commodities; currency; and real estate. The majority of the trades are sector and geographical plays for equity ETFs, with some style (e.g., market cap, growth vs. value, etc.) plays in the mix. Trades are both long and short, with the holding period for most successful trades generally falling in the range of 5-20 trading days.

A subscription entitles the investor to a service that is essentially an end of day snapshot of selected volatility-based trades for following morning – as well as a historical record of previous trade ideas. New trading ideas will be mailed out on an end of day basis in the late evening Pacific Time (if there are no new trades, there will be no email update on that particular day.)

If anyone has any additional questions about EVALS, please feel free to email me at bill.luby@gmail.com