Another week and another loss for the VIX-Trading Portfolio. In the latest week, the portfolio lost 1.2% versus a 1.2% gain on the market. The loss is due to the continued short exposure on the market. Since inception, the portfolio is down about 2% versus a 1.5% gain on the S&P 500 over the comparable time period.
The above graph shows the VIX-Trading portfolio (blue), the S&P 500 (green) and the NASDAQ (brown) since I began tracking in late November. I am disappointed with the results so far, but I continue to work on the standardized VIX model to develop usable trading signals, likely in conjunction with other signals and measures.
The above graph shows the VIX-Trading portfolio (blue), the S&P 500 (green) and the NASDAQ (brown) since I began tracking in late November. I am disappointed with the results so far, but I continue to work on the standardized VIX model to develop usable trading signals, likely in conjunction with other signals and measures.
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