The VIX trading portfolio remains behind the broader market, as the market advanced two weeks ago, causing a a loss in value in the short position. Since inception, the portfolio has lost 80 basis points, behind 30 basis point advance on the S&P 500 over the same time period.
The above graph shows the track of the VIX-Trading Portfolio (blue) since its inception in late November versus the S&P 500 (green) and the NASDAQ (brown). Behind the scenes, I am making tweeks to the model that I detailed in past posts. I have found that using the daily VIX creates too many signals due to its volatility. My goal is to smooth out the volatile nature of the daily VIX while still preserving the signals in the standardize data. Going forward, there are likely to be changes to the long and short allocations as I focus in on a better signal mechanism, but for the time being I will remain with the short position.
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