For the most recently ended week, the VIX-Tradig Portfolio managed to pull out the slightest of margins (8 basis points) out ahead of the S&P 500, losing just 20 basis points in value. I consider this a rounding error, noting the portfolio remains 1x exposed to the S&P 500.
As represented in the above chart, the portfolio has gained 4.5% year-to-date or a relative loss of 180 basis points versus the S&P 500. Since inception, the portfolio has gained 2.6% or 530 basis point loss relative to the market gain over the same time period.
Now turning to the most recent standardized data, the weighted average standardized VIX (calculated over a 6-month period) remains deeply negative at a -2.5. As I noted before, we have not seen as an extreme measure since the market bottomed coming out of the recession in the early part of the last decade. This makes the measure somewhat irrelevant in my mind. However, the 6-month skew remains significantly negative here, ending the week at a -0.9. A negative skew is usually a good indication (depending on your time frame) for future market performance, unless of course it becomes overly negative in conjunction with a far advanced the market rally, the later of which I define as the percentage difference of market prices relative to moving averages. The current differential is about 7 percentage points and together with the skew could indicate caution.
Now, my bias remains towards the bearish side of the trade, as we are seeing signs of distribution at the top. Downside volume levels have been elevated in recent days, while the volatility seems to be picking up a bit. Additionally, the summation index on my Price/Volume Diffusion Index has begun to roll over. That said, I remain somewhat cautious at this juncture on either side of the trade, and will wait to enter into short trades provided a more definitive sign of weakness.
As represented in the above chart, the portfolio has gained 4.5% year-to-date or a relative loss of 180 basis points versus the S&P 500. Since inception, the portfolio has gained 2.6% or 530 basis point loss relative to the market gain over the same time period.
Now turning to the most recent standardized data, the weighted average standardized VIX (calculated over a 6-month period) remains deeply negative at a -2.5. As I noted before, we have not seen as an extreme measure since the market bottomed coming out of the recession in the early part of the last decade. This makes the measure somewhat irrelevant in my mind. However, the 6-month skew remains significantly negative here, ending the week at a -0.9. A negative skew is usually a good indication (depending on your time frame) for future market performance, unless of course it becomes overly negative in conjunction with a far advanced the market rally, the later of which I define as the percentage difference of market prices relative to moving averages. The current differential is about 7 percentage points and together with the skew could indicate caution.
Now, my bias remains towards the bearish side of the trade, as we are seeing signs of distribution at the top. Downside volume levels have been elevated in recent days, while the volatility seems to be picking up a bit. Additionally, the summation index on my Price/Volume Diffusion Index has begun to roll over. That said, I remain somewhat cautious at this juncture on either side of the trade, and will wait to enter into short trades provided a more definitive sign of weakness.
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