Saturday, August 3, 2013

EVALS Performance Update (+143% Since November 2011 Inception) and Launch of New Investment Management Business

The two graphics below summarize the performance of the EVALS model portfolio since its launch on November 17, 2011 through yesterday’s close – a period that includes twenty full months and two partial months. In the 1 ½ months of 2011, EVALS gained 8.66%; for 2012 the return was 61.97%; and the year-to-date performance for 2013 is a gain of 38.18%. The total gains since inception are 143.21%, which is 102.62% better than the +40.58% performance of the benchmark S&P 500 index during the same period.

The equity curve graphic, which is based on a hypothetical model portfolio that began with $100,000 in November 2011 also includes some critical EVALS performance and trading data. These numbers point to a median holding period of 44 days, a win percentage of 63.1%, and an average winning trade that is 4.58 times larger than the average losing trade.

For those who may be interested in risk-performance data, I have also calculated the Sharpe ratio (2.10), Sortino ratio (2.72) and Schwager Gain to Pain ratio (2.33). The maximum drawdown remains the 29.4% peak-to-trough decline during the second quarter of 2012. One surprising number is the continued relatively high correlation between EVALS and the SPX of +0.77. This phenomenon is explained largely by the fact that since November 2011, the market environment for stocks has been considerably more bullish than bearish, so there have been quite a few months in which EVALS and the SPX have both posted gains.


[source(s):VIX and More]

The graphic below summarizes the same data in the form of monthly returns for EVALS in the top table and the performance of EVALS minus the SPX in the bottom table.


[source(s):VIX and More]

As a reminder, EVALS is a model portfolio that trades the full universe of VIX volatility ETPs on a long-only basis. The links below discuss the history, objectives and securities traded in the EVALS (virtual) model portfolio, which employs a very aggressive approach to trading volatility.

Please note that going forward, I will no longer be publicly updating EVALS performance data due to a variety of factors related to the launch of my new investment management business. I will continue to offer the EVALS model portfolio service (details below) and will be pleased to discuss current performance data privately. Also, as soon as the launch of my new investment management business is finalized, I will highlight some of the particulars in this space.

[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.]

Related posts:

Disclosure(s): none

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Tuesday, January 15, 2013

EVALS Q4 2012 Update: Up 61.97% for 2012 and 76.00% Since the November 2011 Inception

While EVALS finished up 2012 on a slightly disappointing note, the strategy’s first full calendar year was a strong success. EVALS was up 61.97% for 2012, topping the benchmark S&P 500 index in eight of those twelve months and bringing the performance since the November 17, 2011 inception to a gain of exactly 76.00%.

As a reminder, EVALS is a model portfolio that trades the full universe of VIX volatility ETPs (there are currently 20 in all) on a long-only basis.

In the fourth quarter of 2012, the volatility space was dominated by concerns over the euro zone financial crisis, the U.S. elections and ultimately, the fiscal cliff negotiations. EVALS performed well in all instances, with the exception of the last week of the year, when the portfolio was aggressively positioned in favor of a resolution of the fiscal cliff stalemate. As the fiscal cliff deal came after the first of the year, it turns out that this positioning did not pay off until January and was a substantial drag on performance during the last week of December.

Rather than discuss a bunch of data in prose, I have elected to superimpose some of the more critical EVALS performance and trading data on the equity curve graphic below. The equity curve shows the performance of a hypothetical model portfolio consisting of $100,000 that was invested in EVALS and the benchmark S&P 500 index on the November 17, 2011 inception date.

While all the numbers are very strong, particularly the risk-adjusted performance data (Sharpe ratio, Sortino ratio and Schwager Gain to Pain ratio,) one slight disappointment has been the correlation between EVALS and the SPX.   Part of the reason this number is higher than some might expect is that EVALS has had a short volatility bias for most of the past 15 months – a trend which is not likely to continue in the future.  Another reason why the correlation is higher than might be expected is that EVALS has only lost money in three months and it turns out that the SPX was down in two of those three months, including one month (May 2012) where both EVALS and the SPX were down sharply.

The table below summarizes the monthly returns for EVALS, for the SPX, and for EVALS minus the SPX.

The links below discuss the history, objectives and securities traded in the EVALS (virtual) model portfolio, which 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.

[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.]

Related posts:

Disclosure(s): none

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