The Month and Year to Date in Review
This month turned out to be fairly quiet for the portfolio. As the market pushed up in the first couple of weeks and then came down a bit in the last couple of weeks, I struggled somewhat to keep the portfolio together. I was leaning positive delta for much of the month and found it harder to deal with than what is normally a negative delta overall position. For the month, the portfolio was up +1.00%. The ETF for the S&P 500, SPY, was up +2.03% and the ETF for the Russell 2000, IWM, was up 2.88%.
For the month, gains were distributed across the portfolio without one strategy majorly dominating the gains or losses. The SPY Put Write and Delta Hedge strategy did a nice job in an upward moving market adding 35 bps to the portfolio. The VIX Calendars actually made money this month (just barely) by adding 1 bp to the portfolio. The SPX Broken Wing Butterflies strategy put in another solid month by added 50 bps to the portfolio. The RUT Iron Condors strategy did well this month adding 37 bps to the portfolio. The RUT Butterflies is where I struggled this month. I strayed from my rules and paid the price. This month the strategy subtracted 20 bps from the portfolio. As mentioned earlier, all of this combined for an overall portfolio return of +1.00% for December 2016. The ETF for the S&P 500, SPY, was up +2.03% and the ETF for the Russell 2000, IWM, was up 2.88%.
For the year, there were a couple of strategies that really dominated. The markets were rather exciting with a plunge at the beginning of the year, a rapid recovery, a slow melt up, a minor melt down in the summer, and strong move up after the election. For me, I found it challenging to manage this environment and I found myself with larger positions than I would have liked in certain strategies. I'm aiming for a little bit more balance in 2017. The SPY Put Write and Delta Hedge strategy was a major contributor to my overall gains this year adding 372 bps to the portfolio. For all of my whining during the year, the VIX Calendars strategy wasn't all that bad subtracting 71 bps from the portfolio. The SPX Broken Wing Butterflies strategy was the major contributor adding 526 bps to the portfolio. With more discipline, and some more diversified exit rules, I think I will be able to do a better job with this strategy in the next year. The RUT Iron Condors strategy didn't do as well as I would have liked. This is part of a service I subscribe to but I do modify the adjustments and closing trades whenever I feel like it. I didn't do a great job of that this year. For the year, the strategy added 87 bps to the portfolio. Finally, the RUT Butterflies strategy added 168 bps to the portfolio. Again, discipline is the key to doing a better job with this strategy in the new year. All of this combined for an overall portfolio return of +10.82%. The SPY was up 12.00% and the IWM was up 21.59%.
So I didn't exactly shoot out the lights this year (my goal is 2% per month) but I did do a better job than the S&P 500 from a risk and return perspective. The portfolio has a 1 year standard deviation of 9.85% and a sharpe ratio of 1.10. The SPY has a 1 year standard deviation of 13.05% and a sharpe ratio of 0.92. More details including returns, sharpe ratios and correlations are available on the Performance page.