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Dynamic Allocation Portfolio Update – May 2015

|Includes: SPXL, SPY, SVXY, TLT, iPath S&P 500 VIX Short-Term Futures ETN (VXX), XIV

May was almost a rerun of April for our dynamic allocation portfolio. The portfolio had a nice 6.4% gain during the month. Same as in April, the gain was driven by 1.3% increase of the S&P500 and steep contango of VIX front month and second month futures (averaging ~8% for the month). The XIV component returned 13.2% while the SPXL component returned 3.4% for the month. Since inception in December 2015, the portfolio has returned 5.9% comparing to the 1.8% gain of SPY during the same period. If we exclude the 6% drag of portfolio return due to trading cost ($60 trading commissions for a $1000 portfolio), the total should have been ~12% since December.

There was no trade for the portfolio during the month.

 

Holding 1

Holding 2

     

Date

ETP1

Share1

Buy price1

Current price1

ETP2

Share2

Buy price2

Current price2

Cash

Account value

Gain/Loss since inception

4/30/2015

SPXL

7

89.23

90.76

XIV

8

28.57

39.92

40.73

995.41

-0.5%

5/29/2015

SPXL

7

89.23

93.86

XIV

8

28.57

45.19

40.73

1059.27

5.9%

Disclosure: The author is long XIV, SVXY, SPXL.