Another week and another relative gain in the VIX-Trading Portfolio. The portfolio remains doubly exposed to the S&P 500, as the current reading of the weighted average standardized VIX of -1.43 and a standard daily VIX reading of -1.67, along with other trend following factors, continue to suggest a long bias for the market. This continues to be the correct call, with the market up slightly more than 1% on the week. In contrast, the portfolio was up more than 2.3% for a relative gain of 120 basis points. The portfolio is slowly closing the performance gap that opened following the fiscal cliff 'resolution' earlier this year.
Year-to-date, the portfolio has gained 3.3% versus the market's 5.4%, leaving a deficit more than 200 basis points. Since inception, the portfolio is up only 1.4% versus the 5.5% gain on the market.
I have to say, my inner contrarian is beginning to get a little bothered and is telling me that I should take some money off the table here. That said, I am going to stick with objective discipline and not let emotions get to me. I will consider taking down the double market exposure once either the VIX indicator turns to neutral/negative, the price/volume diffusion index becomes less positive, or the price/volume characteristics of the market turn decidedly negative.
Year-to-date, the portfolio has gained 3.3% versus the market's 5.4%, leaving a deficit more than 200 basis points. Since inception, the portfolio is up only 1.4% versus the 5.5% gain on the market.
I have to say, my inner contrarian is beginning to get a little bothered and is telling me that I should take some money off the table here. That said, I am going to stick with objective discipline and not let emotions get to me. I will consider taking down the double market exposure once either the VIX indicator turns to neutral/negative, the price/volume diffusion index becomes less positive, or the price/volume characteristics of the market turn decidedly negative.
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