Just some quick portfolio updates here..... yes a little late, but I was waiting for Marketocracy to update their portfolio charting tool, shown below. Last week, the VIX trading portfolio gaining 20 basis points, less than the 60 basis point gain on the market. The portfolio remains 1x exposed to the S&P 500, as the trading model remains in a neutral stance.
The latest trading model continues to show a negative standardized skew while the weighted average standard VIX remains fell below -2 once again. This setup suggests higher equity prices. Year-to-date, the portfolio has gained 7% in value or 240 basis points less than market. Since inception, the portfolio has gained 5.1% or a 570 basis points relative loss versus the S&P.
The latest trading model continues to show a negative standardized skew while the weighted average standard VIX remains fell below -2 once again. This setup suggests higher equity prices. Year-to-date, the portfolio has gained 7% in value or 240 basis points less than market. Since inception, the portfolio has gained 5.1% or a 570 basis points relative loss versus the S&P.
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