The Week in Review
While last week was just plain frustrating, this week was quite painful. Again, big moves up or down don't bode well for a market neutral portfolio. The portfolio ended the week down -1.52%. The ETF for the S&P 500, SPY, was up +2.74% and the ETF for the Russell 2000, IWM, was up +4.39%.
The hedge in the SPY again added to the return to the portfolio with the big move up in the market. This week, it added 43 bp to the portfolio.
I left the VIX calendars alone again this week which was probably a mistake. They subtracted 2 bp from the portfolio return this week.
I closed out part of the March expiration of the Monthly RUT Iron Condor strategy deciding to leave the rest on until expiration next week. The April expiration trade will likely go on next week. I also added some regular May iron condors without a debit spread. Overall, the strategy subtracted 21 bp from the portfolio.
The SPX Broken Wing Butterflies, a primarily bullish or sideways market trade did well this week adding 23 bp to the portfolio.
The RUT Butterflies with the IWM long call caused most of the pain this week with losses mostly in the quarterly March 31 expiration. The regular monthly expiration trades for March and April remain on. They subtracted 194 bps from the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| Naked SPY Trending | 0.43 | 0.57 | 0.35 |
| VIX Calendars | -0.02 | -0.03 | -0.18 |
| Monthly RUT Iron Condor, DR spread, long put | -0.21 | -0.31 | -1.88 |
| SPX Broken Wing Butterflies | 0.23 | 0.79 | -5.20 |
| RUT Butterflies, IWM long call | -1.94 | -2.11 | -2.35 |
| TOTAL | -1.52 | -1.09 | -9.26 |