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Dynamic Allocation Model Portfolio Update September 2016

We ended September almost unchanged with a small -0.8% loss. End of summer has finally brought volatility to the financial markets. S&P 500 index had a ~3% correction and bottomed on September 12th with an intraday low at 2119. The index then recovered and ended the month almost unchanged. The volatility was enough to trigger a sell signal for our XIV holding. We sold XIV from portfolio on September 9th then bought it back on September 15th at level 5% below our selling price. The XIV/VIX strategy has been very profitable YTD but also very volatile. It was no exception this time. XIV declined 22% in four trading days from September 7th to September 13th. As such, the key for XIV/VXX strategy is quick and clean exit/entry when the tide is changing. There was no trading for our core dynamic allocation strategy. For the third quarter, our model portfolio returned 8.8% vs 3.1% gain for S&P 500 index. YTD, our model portfolio's 25.6% gain beat S&P 500 index's 6.1% by almost 20%.


我们的投资组合9月份几乎不变,下跌了0.8%。夏天的结束终于带来了金融市场的动荡。标准普尔500指数九月有个~3%的调整。最低点在9月12日的2119点,但到月末基本收复了绝大部分的损失。这个波动足以触发了我们持有的XIV的卖出信号。我们在9月9日卖出了XIV,然后于9月15日又在低于我们卖出价格5%的水平购回。XIV / VIX战略今年以来回报非常好,但波动性也很高。这次也不例外。从9月7日至九月13日,XIV在四个交易日内下降了22%。使用XIV / VXX策略的关键是当波动性发生快速变化时,行动必须要坚决果断。我们的核心动态分配策略九月没有交易。整个第三季度,我们的模型投资组合收益了8.8%,超过标准普尔500指数的3.1%的涨幅。年初至今,我们的模型投资组合回报了25.6%,轻松超出标准普尔500指数的6.1%涨幅近20%。

Disclosure: I am/we are long XIV, SPY, RPG.