The Month and Year to Date in Review
This month was an absolute dream. The market slid slowly down without any huge spikes in volatility, leading to some really nice gains in the portfolio. For most of the trades, this sort of action resulted in the market falling into the meat of the positions and sitting there long enough for theta to decay nicely. For the month, the portfolio was up +4.57% and the ETF for the S&P 500, SPY, was down -1.76%.
The contribution from both the SPY Put Write and Delta Hedge strategy and the VIX Calendars strategy was 0 for the month. The big contributor this month was the SPX Broken Wing Butterflies strategy with 224 bps. The RUT Iron Condors strategy added 176 bps. The RUT Butterflies strategy added 57 bps. This combined to result in a +4.57% return for the portfolio this month. This compares to a return of -1.76% for the SPY.
For the Year to Date, the SPY Put Write and Delta Hedge added 291 bps and the VIX Calendars subtracted 72 bps. The SPX Broken Wing Butterflies strategy added 381 bps. The RUT Iron Condors strategy added 507 bps. The RUT Butterflies strategy added 148 bps. This combined to result in a +12.56% return for the portfolio for 2016 so far. This compares to a return of +5.87% for the SPY.
All in all, this has been a good month and year so far for the portfolio. Up to this point we have higher returns and lower risk than if we had just invested solely in the SPY. More details, including Sharpe Ratios and Correlation values, are available on the Performance page.