October 2017
I was all over the map this month. The portfolio started out strong and by the middle of the month things were looking good. Then I had some trouble with some of the gyrations in the SPX and RUT and I pretty much stalled out. The SPX (S&P 500) ended the month up a blistering +2.22% and the RUT (Russell 2000) was up a more conservative +0.78%. The portfolio managed some gains as well, up +0.82% for the month.
The two smaller strategies, the SPY Put Write and Delta Hedge and Volatility, contributed 19 bps and 12 bps respectively. The SPX Broken Wing Butterflies strategy had a quiet month adding only 3 bps to the portfolio. The RUT Iron Condors strategy was the strongest strategy of the month. The RUT seemed a little more volatile than usual this month but it still managed to stay in a fairly nice range. Because of this, the iron condors were able to suck in theta and the strategy added 66 bps to the portfolio. The RUT Butterflies strategy had trouble with this volatility as I found myself adjusting far too much. This led to the strategy subtracting 17 bps from the portfolio.
Year-to-Date
Those indices are catching up. The RUT (Russell 2000) took a bit of a breather but the SPX (S&P 500) surged higher recently. The SPX is up +15.03% and the RUT is up +10.71% since the beginning of the year. The portfolio is still holding its own though, up +18.39%. It continues to do this with lower volatility and a higher sharpe ratio.
The general move up in the SPX has been good news for the SPY Put Write and Delta Hedge strategy. For the year, it has added 151 bps to the portfolio. The Volatility continues to be a leach on the portfolio sucking out 81 bps from the return. The strongest member of the team is the SPX Broken Wing Butterflies adding 861 bps to the portfolio. The RUT Iron Condors strategy continues to be a solid performer adding 494 bps to the portfolio and the RUT Butterflies strategy added 412 bps for the year-to-date.
But wait, there's more! Check out these charts and graphs on the Performance page of the site where you can use fancy shmancy sliders to adjust the time period being reported! Wow!