The VIX-Trading Portfolio remains 1x exposed the S&P 500 via the S&P 500 Spider ETF (ticker SPY). Any regular readers will know that I have reservations about where the market sits in relation to previous swing points back in 2007, mixed messages from my Price/Volume Diffusion Index, and various indicators from standardized VIX. That said, I continue to the think the bias remains to the upside for the moment, and although I would not commit new money to market, I would not go short here either. Hence the 1x exposure to the S&P 500, which in this trading model is the fall back default.
As of the end of last week, the weighted average standardized VIX remains significantly negative with a reading of -1.9. Still, this reading is off the lows that approached -2.7 just two weeks ago. Additionally, the skew remains negative with a reading of nearly -0.5, also off the lows that approached one. A historical analysis shows that the performance of equities is generally positive when the skew is negative.
The chart above shows the performance of the VIX-Trading Portfolio (blue line) versus the S&P 500 (green) and the NASDAQ (brown). In the most recently ended week, the portfolio gained 10 basis points, down nearly 10 basis points relative to the S&P 500. Year-to-date, the portfolio has gained 4.6% for a relative loss of 190 basis points relative to the market. Since inception, the portfolio has gained 2.7% for a relative loss of 5 percentage points.
As of the end of last week, the weighted average standardized VIX remains significantly negative with a reading of -1.9. Still, this reading is off the lows that approached -2.7 just two weeks ago. Additionally, the skew remains negative with a reading of nearly -0.5, also off the lows that approached one. A historical analysis shows that the performance of equities is generally positive when the skew is negative.
The chart above shows the performance of the VIX-Trading Portfolio (blue line) versus the S&P 500 (green) and the NASDAQ (brown). In the most recently ended week, the portfolio gained 10 basis points, down nearly 10 basis points relative to the S&P 500. Year-to-date, the portfolio has gained 4.6% for a relative loss of 190 basis points relative to the market. Since inception, the portfolio has gained 2.7% for a relative loss of 5 percentage points.
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