In the most recently ended week, the VIX- Trading Portfolio lost 20 basis points in value, roughly in line with the performance of the S&P 500 over the same time period. Following the latest weekly performance, the portfolio has gained 6.8 percentage points year-to-date, 230 basis points less than the market's gain. Since inception, the portfolio has increased by 4.9 percentage points, 560 basis points less than the market.
Looking at the latest standardized VIX model, the model remains positively biased. The weighted average standardized VIX hovers just below -2. This is while the standardized skew remains below 0, suggesting a positive performance bias in equities over the short-term. That said, I remain cautious and will only accept market performance at this juncture, provided the trading action and lack of volume conviction as the S&P 500 trades up into high prices on weakening volume.
Looking at the latest standardized VIX model, the model remains positively biased. The weighted average standardized VIX hovers just below -2. This is while the standardized skew remains below 0, suggesting a positive performance bias in equities over the short-term. That said, I remain cautious and will only accept market performance at this juncture, provided the trading action and lack of volume conviction as the S&P 500 trades up into high prices on weakening volume.
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