The Month and Year to Date in Review
This month was a bit of a nightmare. Things started out well and then quickly went to crap because of a couple of extra large positions I held on to for far too long. Oh well, lesson learned…for now. The huge move up after the election has proven to be very difficult for me to manage. A market neutral portfolio tends not to do too well in situations like this and my oversized positions in one of the trades proved to be my downfall this month. For the month, the portfolio was down -2.52%. The ETF for the S&P 500, SPY, was up +3.68% and the ETF for the Russell 2000, IWM, was up +11.06%.
For the month, the SPY Put Write and Delta Hedge strategy added +44bps to the portfolio return. The VIX Calendars strategy was dormant again this month with no gains or losses. The SPX Broken Wing Butterflies strategy contributed nicely with +90bps and the RUT Butterflies also contributed to the overall portfolio with +40 bps. The biggest issue was my oversized position in the Dec and Jan RUT Iron Condors. That trade alone subtracted -426 bps as the Russell rocketed up throughout the month. All of this combined for an overall portfolio return of -2.52%. The SPY was up +3.68% and the IWM was up +11.06%.
For the year to date, things look a little bit better. The SPY Put Write and Delta Hedge strategy added +334 bps to portfolio. The VIX Calendars strategy subtracted -71 bps. The SPX Broken Wing Butterflies strategy is the big contributor with +471 bps. The RUT Iron Condors strategy which destroyed me this month is still positive for the year adding +48 bps. Finally, the RUT Iron Condors strategy added +188 bps to the portfolio. Year to date, the portfolio is up +9.72%. Including dividends, the SPY is up +9.76% and the IWM is up 18.11%.
All in all, this was a rotten month but still a respectable year. Up to this point we have slightly lower returns and much lower risk than if we had just invested in the SPY. Evidence of this is shown in the portfolio’s Sharpe Ratio of 1.00, a risk adjusted return measurement, compared to the SPY’s Sharpe Ratio of 0.76. More details, including Sharpe Ratios and Correlation values, are available on the Performance page.