If you recall, I recently began trading (at least via Marketocracy, but if the strategy pans out in a simulated real-time trading environment I will strongly consider incorporating the strategy into my own portfolio strategy) a portfolio utilizing standardized VIX data to trade the S&P 500 either on the long side or the short side. For the week ending 11/30 and since inception, this portfolio gained 0.4% versus a gain of 0.5% on the S&P 500, a 10 basis point relative loss.
Despite this loss, I am comfortable with the performance for the time being. This strategy and the day-to-day trading and investing using the standardized VIX data remains a work-in-progress. It remains a matter of efficiently utilizing the signals (which appear to be robust and that I detailed a numerous times) to make appropriate trading calls. Currently, the portfolio has a 50% weight in the S&P 500 Spider (ticker SPY) with the remainder in TIPS index funds. I continue to debate as to how I want to weight the portfolio positions during transition periods or when no clear signal is provided. The public profile of this portfolio can be found here.
Despite this loss, I am comfortable with the performance for the time being. This strategy and the day-to-day trading and investing using the standardized VIX data remains a work-in-progress. It remains a matter of efficiently utilizing the signals (which appear to be robust and that I detailed a numerous times) to make appropriate trading calls. Currently, the portfolio has a 50% weight in the S&P 500 Spider (ticker SPY) with the remainder in TIPS index funds. I continue to debate as to how I want to weight the portfolio positions during transition periods or when no clear signal is provided. The public profile of this portfolio can be found here.
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