I have received quite a few requests for more information about EVALS and with 4 ½ months since the relaunch of EVALS (or EVALS 2, if you wish) in the books, the end of the first quarter of 2012 seems like a good time to offer up some information about this model portfolio.
First, I encourage those who are interested in learning more about the history, objectives and securities traded in the EVALS (virtual) model portfolio to review EVALS Relaunches, Now Focusing on VIX Exchange-Traded Products. To briefly recap, the EVALS model portfolio employs a very aggressive approach to trading volatility, utilizing primarily VIX ETPs for both long volatility and short volatility positions, as market conditions warrant. EVALS also seeks to benefit from opportunities presented by movements in the VIX futures term structure. The result is intended to be a portfolio whose returns have the potential to exceed the returns of the S&P 500 index by a substantial margin, while being largely uncorrelated to the SPX over a long-term time horizon.
Regarding the mechanics and performance of EVALS, here are some data that may be of interest:
- to date EVALS has traded nine different VIX and volatility-based ETPs out of a universe of 31 VIX and volatility ETPs, plus two additional ETPs that have an embedded options volatility component: an SPX buy-write ETP, PBP; and a convertible bond ETP, CWB.
- in terms of trading frequency, there have been 34 trades so far, or 7.6 per month
- the average holding period for all closed trades has been 35 days
- the maximum peak to trough drawdown so far has been 6.9% (during the second week of February)
- the cumulative correlation between EVALS and the S&P 500 index since the November 2011 launch is +0.15 (using monthly return data)
- monthly performance data are summarized below (November* = partial month performance dating from November 17, 2011)
Finally, the following equity curve shows the performance of a hypothetical model portfolio consisting of $100,000 that was invested in EVALS and the S&P 500 index on the November 17, 2011 inception date.
For the record, pricing for EVALS is $50 per month or $500 per year. For those who are interested in subscribing, just click on the Subscribe button on the upper right hand corner of the EVALS blog to subscribe via PayPal or email me at bill.luby[at]gmail.com if you wish to pay for an annual subscription with a personal check. There is no free trial associated with EVALS, though subscribers to the VIX and More newsletter (which does include a 14-day free trial) will certainly get a flavor of how I think about VIX-based ETPs.
Disclosure(s): long PBP at time of writing
