I am sticking with the double-long exposure in the VIX-Trading Portfolio. For the most recently ended week, the portfolio gained 1.7 percentage points or 80 basis points more than S&P 500. This performance helped narrow the gap relative to the market both since inception (down 641 basis points) and year-to-date (a 330 basis point detriment). The chart below shows the performance loss and gain since the turn of the year.
Looking at the latest model results, the weighted average, standardized VIX has been falling since the beginning of the year, down to a -0.83 currently. from just above the zero mark earlier in January. This has been on the large decline in the VIX, currently sitting at 12.46. The current VIX reading is good for a standardized reading of just about -2.1, down from a 3.9 at the end of December. As I have constructed the model, buy triggers are established at two points. First, when the weighted average standardized VIX is below -1.50 but greater than -2. and when the weighted average standardized VIX is between -1.5 and 1 and the current standardized VIX is below -1.45. The model still points to a long position in the market, hence the exposure to the double long S&P 500 ETF. I toyed with the notion of reducing this exposure, but other factors convinced me to remain with it. For instance, the price/volume diffusion index I have been developing.
Looking at the latest model results, the weighted average, standardized VIX has been falling since the beginning of the year, down to a -0.83 currently. from just above the zero mark earlier in January. This has been on the large decline in the VIX, currently sitting at 12.46. The current VIX reading is good for a standardized reading of just about -2.1, down from a 3.9 at the end of December. As I have constructed the model, buy triggers are established at two points. First, when the weighted average standardized VIX is below -1.50 but greater than -2. and when the weighted average standardized VIX is between -1.5 and 1 and the current standardized VIX is below -1.45. The model still points to a long position in the market, hence the exposure to the double long S&P 500 ETF. I toyed with the notion of reducing this exposure, but other factors convinced me to remain with it. For instance, the price/volume diffusion index I have been developing.
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