A number of readers have wondered about the current status of EVALS, given that
I have not provided any updates on this model portfolio for three years. Rest assured, EVALS is alive and well and has
been thriving quietly in the background.
For those who may be new to the
story, EVALS was launched on November 17, 2011 as a proof of concept for a
strategy that traded exclusively VIX and volatility-based ETPs on a long-only
basis. The proof of concept was a success
and in 2014, I began to incorporate some of the tenets and analytics associated
with EVALS into my investment management business, manages three different volatility
strategies, one of which is a direct descendant of the original EVALS
formulation.
Along the way, I made only one tweak
to EVALS, but it was an important one.
After
Every
Single VIX ETP (Long and Short) Lost Money in 2015, I sought to eliminate
the long-only handicap, with the result that as of January 2016, EVALS has been
allowing for up to 50% of the portfolio’s assets to be held in short ETP
positions. As some brokers have limited
availability of VIX ETPs to short, to be fair to all subscribers, I mandated
that EVALS only consider short positions in VXX, UVXY and SVXY, as these are
the only three VIX ETPs with a sufficiently liquid options market to easily
allow for synthetic short positions.
I often receive requests for
performance data for EVALS. Since the
intent of EVALS and the Stock of the Week and other popular model portfolios has
never been to wow readers with an avalanche of over-the-top performance data, I
will update this data only once per year, on the EVALS anniversary date.
For the five-year anniversary, I
have elected to include an equity curve, a performance data table and a list of
trading and performance statistics below.
The first graphic is an equity curve
that is based a hypothetical model portfolio that began with $100,000 in
November 2011 and shows EVALS growing by 334% during a five-year period (34.13% annualized) in
which the S&P 500 Index (total return) gained 84%.
[source(s):VIX
and More]
The second graphic is a data table
that includes monthly return data for each of the past sixty months and
captures the maximum drawdown during each year.
[source(s):VIX
and More]
The third and final graphic is an
aggregation of trading statistics, risk-adjusted performance data and related
numbers. Included in these numbers is a
Sharpe ratio of 0.96, a Sortino ratio of 1.67 and a Jensen’s alpha of
5.30. Of course, these numbers are not
meant to be comprehensive, but it should save me a from a few emails.
[source(s):VIX and More]
As a reminder, EVALS is a model
portfolio that trades the full universe of VIX and volatility-based ETPs on a
long-only basis, except for three products (VXX, UVXY and SVXY) that can be
shorted at a maximum of 50% of the value of the portfolio. 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.
[Pricing for EVALS is $99 per month or $990 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, which
will be direct billed via PayPal. 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:
- Every Single VIX ETP (Long and Short) Lost Money in 2015
- EVALS Performance Update (+143% Since November 2011 Inception) and Launch of New Investment Management Business
- EVALS Q4 2012 Update: Up 61.97% for 2012 and 76.00% Since the November 2011 Inception
- EVALS One-Year Summary and Performance Update (+74.13%)
- EVALS Q3 Update: Up 70.59% Since November 2011 Inception
- EVALS Q2 2012 Update
- EVALS Q1 2012 Update
- EVALS Relaunches, Now Focusing on VIX Exchange-Traded Products
Disclosure(s): none
