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Fred Piard
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Author of 2 books praised by investors and professionals (see below), designer of a diversified market-neutral portfolio: a zero-sum market exposure, no short-selling, no margin (ypafi.com). I am an independent analyst, with a PhD in computer science, 2 MSc in software and civil engineering, an... More
My company:
YPAFI.COM
My book:
2 Books With Alpha Inside
  • Trading VIX ETPs - 6-Month Report 0 comments
    Jul 21, 2014 11:19 AM | about stocks: XIV, SVXY, ZIV

    Here are the returns of my VIX trading models in the first half of 2014 (1/1/2014 to 6/27/2014).

     

    Positions

    6-month return*

    Annualized (hypothetical)

    6-month return, corrected**

    Model1 Weekly

    2 ETPs

    30.0%

    69.0%

    25.9%

    Model2 Weekly

    1 ETP

    7.5%

    15.6%

    2.3%

    Benchmark

        

    SPY

     

    7.4%

    15.3%

     

    * Calculated with open price.

    ** Applying a 0.2% rate per trade for commission fees and slippage. There is almost no slippage on XIV, but ZIV and other products have lower volumes and wider spreads.

    In simulation, the newly introduced Model3 did 43% (104% annualized), or 37.7% corrected (no real money on this one until July). Past performance is not a guarantee for the future.

    Why 3 models and what are the differences?
    The 3 models are based on different logics and may behave differently depending on market conditions.
    - Model1 looks better when the VIX is low or in a whipsaw market (intra-week oscillations).
    - Model2 looks better in a mid-term trending market (S&P500 trending up about 1 month or more).
    - Model3 looks better in a short term trending market (S&P500 trending up or down about 1 week or more).
    - Model1 and Model3 may suffer badly when stocks and T-bonds are trending down together on the short term.
    - Model2 and Model3 may suffer badly in a brutal volatility spike.

    Model3 simulations show the most impressive returns (here), at the price of a higher volatility and big drawdowns.

    Disclaimer : this is a follow-up of my personal portfolios, not investment advice. I am not a Registered Investment Advisor.

    Disclosure: The author is long ZIV.

    Stocks: XIV, SVXY, ZIV
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