I have received quite a few requests for more information about EVALS lately. While Q2 has been in the books for several months, I thought it might be useful for archival purposes to have a post that provides a summary of the second quarter and of the cumulative activity in EVALS from the November 17, 2011 launch.
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, however, 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:
- as of June 30, 2012, EVALS had 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 were 34 trades from the inception through the second quarter, or 7.6 trades per month
- the average holding period for all closed trades from the inception through the second quarter was 35 days
- the maximum peak to trough drawdown from the inception through the second quarter was 29.4% (this drawdown occurred during the April to June time frame)
- the cumulative correlation between EVALS and the S&P 500 index from the inception through the second quarter was +0.15 (using monthly return data)
- $100,000 invested in EVALS on the November 17, 2011 inception date was worth $145,184 as of June 30, 2012 for a cumulative return of 45.18% (the S&P 500 index was up 12.01% during the same period)
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.
Pricing for EVALS is $60 per month or $600 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.
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Disclosure(s): long PBP and CWB at time of writing
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