EVALS Details Performance Data for First Year

For the most part, I try to keep information about the VIX and More Subscriber Newsletter and EVALS to an absolute minimum in this space, but lately EVALS has become such a phenomenon that I decided it would be easier to discuss it here rather than to continue to the answer the large volume of questions about this service that inevitably clog up my inbox.

In keeping with tradition, I will touch up on a couple of highlights here and recommend that readers who are interested in more information visit the EVALS blog and start with today’s post, EVALS One Year Summary and Performance Update (+74.13%).

Since November 17, 2011, EVALS has been focusing entirely on VIX and volatility-based ETPs. In the first year of operation, the EVALS model portfolio traded 12 different VIX and volatility-based ETPs a total of 81 times. Some 63.6% of all closed trades were winners and the average winner gained 5.4 times as much as the average loser lost, with a median holding period of 60 days.

For those with an interest in risk-adjusted performance metrics, EVALS had a Sharpe ratio of 1.65 in the first year, a Sortino ratio of 2.39 and a Schwager Gain to Pain ratio of 2.91. More information and performance data can be found on the EVALS blog. Also of interest may be the following equity curve, which shows the one-year performance of a hypothetical model portfolio consisting of $100,000 that was invested in EVALS and the S&P 500 on the November 17, 2011 launch date.

Finally, for anyone who may be confused about what content is in EVALS, what is in the newsletter and what finds its way to the blog, I have updated what I call the content pyramid, which hopefully will be (mostly) self-explanatory.

Related posts (from the EVALS blog):

• EVALS One Year Summary and Performance Update (+74.13%)
• EVALS Relaunches, Now Focusing on VIX Exchange-Traded Products

Disclosure(s): none

EVALS and the Stock of the Week Continue to Post Impressive Numbers

Lately I have been fielding quite a few questions about the VIX and More Subscriber Newsletter, and particularly about VIX and More EVALS, which is a model portfolio dedicated to trading VIX and volatility-centric exchange-traded products.

Rather than get into too many details in this space, I have elected to elaborate a little about each service on their respective blogs. For the newsletter, today I posted Q3 2012 Newsletter Update, with Stock of the Week +107% YTD and +4473% Since Inception, in which I provide some details about how I select the Stock of the Week, discuss some recent picks, and provide performance data going back to the March 2008 inception. As far as EVALS is concerned, this service has gone through two iterations, with the most recent iteration dating from November 2011 and focusing on VIX ETPs. In EVALS Q3 2012 Update: Up 70.59% Since November 2011 Inception I delve into some details about this model portfolio and provide a fair amount of data with respect to trades and performance.

For the record, I still generate content on a regular basis even when blog may appear to be dormant, as has been the case lately. While my personal trading is my first priority, content priority always goes to subscriber-based content such as the newsletter (published every Wednesday), EVALS, and Expiring Monthly magazine, where my contributions for the September issue included The FOMC 3 + 3 Trade as well as Trade Example: The September 2012 3 + 3.

For anyone who may be confused about how to differentiate between what I am writing about in various publications and locations, a good graphical reference can be found in Highlighting Newsletter Content Focus with Content Pyramid. I have also included pointers to a summary of my Expiring Monthly articles and Barron’s columns in the links below.

Last but not least, it appears my longer-than-expected hiatus on the VIX and More blog is now over and I can get back to posting free content on a regular basis. I also realize there are quite a few emails and blog comments which I need to attend to; I hope to address these in short order.

 

Related posts:

• Q3 2012 Newsletter Update, with Stock of the Week +107% YTD and +4473% Since Inception
• Changes to Newsletter Place More Emphasis on VIX Exchange-Traded Products
• Highlighting Newsletter Content Focus with Content Pyramid
• Newsletter and Portfolio Performance Update Through 12/31/10 (includes a discussion of the Stock of the Week)
• EVALS Q3 2012 Update: Up 70.59% Since November 2011 Inception
• EVALS Relaunches, Now Focusing on VIX Exchange-Traded Products
• Recent Research Projects and Expiring Monthly
• Guest Columnist at Barron’s: How to Trade Options Around Volatile Events

Disclosure(s): none

EVALS Update and a Look Under the Hood

I have fielded so many questions about EVALS that I finally decided to put up a summary post that discusses various aspects of the mechanics of the EVALS model portfolio as well as some performance data. In EVALS Q1 2012 Update, I address such issues as monthly returns, maximum drawdown, trading frequency, average holding period, correlation with the SPX, etc. for the first 4 ½ months since inception.

For those seeing more comprehensive information, EVALS Relaunches, Now Focusing on VIX Exchange-Traded Products might also be of interest. Readers who wish to see a graphic that explains the differences between the content in this blog, in the newsletter and in EVALS are encouraged to review the content pyramid in Five Years of VIX and More.

Finally, in the event that anyone needs a more provocative teaser to visit the EVALS blog, I will disclose that there you will find some information relating to the 52.60% return in EVALS in the 4 ½ months since the November 17, 2011 launch.

Related posts:

• Major Changes to VIX and More Newsletter and EVALS
• Five Years of VIX and More

Disclosure(s): none

Five Years of VIX and More

One week ago marked five years since my first post at VIX and More. Since this anniversary fell just after my Top Posts of 2011 entry, it seemed like another retrospective look at the blog might be one too many. After a week of reflection I am now convinced that The 1000^th Post is probably best left unchallenged (for now at least) as my definitive history of the ideas represented on this blog and a good reference for relatively new readers. Another link worth highlighting is the hopefully self-explanatory The Post of the Month: An Informal History of VIX and More. Last but not least, for those interested in the best of the archives, those few posts with the hall of fame label are among my personal favorites.

In order to mark the five-year anniversary, I have elected to highlight the ten most-read posts on the blog since its inception, with some commentary about each post.

1. Ten Things Everyone Should Know About the VIX – If there is one post on this blog that everyone could benefit from – and new readers might wish to start with – this is the one. I last updated the contents of this post in 2010 and I will be sure to revise it again in the near future.
   
2. How to Trade the VIX – This is a fairly basic explanation about how to trade the VIX that probably benefits from having a title that positions it well for Google searches. There are a number of related posts about how to trade the VIX (some of which are links in the original), but here is a case where I should also have an updated look at the subject, with some more comprehensive information.
   
3. VXX Calculations, VIX Futures and Time Decay – I find it interesting that a post which was unable to crack the top ten in the year it was written (2009) is now in the top three of all time. I believe this was the first explanation anywhere went into the details of the VIX futures roll yield and the math involved persistent contango and the resulting price decay in VXX. As so many traders have taken up the cause in trading VXX and related products, this post has become an invaluable educational resource and is frequently linked to almost three years later.
   
4. Why VXX Is Not a Good Short-Term or Long-Term Play – Written several months after the post above, this extended some of the ideas that I had fleshed out earlier in a manner that investors have found helpful regardless of the time frame in which they are trading.
   
5. Prediction: Direxion Triple ETFs Will Revolutionize Day Trading – One thing I tried to do when I started this blog was to focus on educational material instead about talking about my trades or what I was expecting from the markets. Every once in a while, however, there were some things that I saw as very likely to happen that cut against traditional thinking. This triple ETF call was one of those and also helped to attract attention to these new products.
   
6. Chart of the Week: Might Recent Volume Bottom Doom Stocks? – I was surprised to see this post on the last as the analysis is probably not among my best thinking. What I believed happened was that at the time this was written, investors had become concerned that stocks had rallied too sharply off of their March 2009 lows and were likely to run out of steam soon. As it turns out, stock sold off for about two weeks after this post, falling back to SPX 869, then resumed their bullish momentum.
   
7. What Is High Implied Volatility? – This post from 2008 helped to explain several different ways of evaluating implied volatility relative to various benchmarks, at a time when investors were becoming increasingly concerned about volatility. Questions about implied volatility continue to be big issues for new options traders.
   
8. SPX 15% Over 200 Day Moving Average for First Time in Ten Years – While I will probably never get a job writing headlines for the New York Post, every once in a while my research and analysis uncovers something that has widespread appeal and a catchy enough headline to attract a lot of attention. While this headline and the accompanying graphic sound ominous, stocks shook off the bearish warning and continued to rally.
   
9. Rule of 16 and VIX of 40 – When people try to explain to me why they like the blog, what usually comes out is some sort of variation of, “You make very technical material easy to understand.” This post is probably one of the better examples of this. Many people struggle with some of the math associated with the VIX and having read this, I know the lights have gone for a number of investors.
   
10. Lost in Translation: VXX and VXZ – This post preceded #3 and #4 on this list and  was probably the first piece published anywhere that talked about the beta of VIX, VXX and VXZ relative to SPX. Most investors had not figured out what to expect with VXX and VXZ in terms of VIX moves back in April 2009 – and quite a few still struggle with this issue to this day.

Finally, one recent development worth noting is the re-launch of EVALS (ETP Volatility Analysis Long-Short) in November. EVALS is now focusing on VIX-based ETPs and this has created some confusion from readers about what content is on the blog, what is in the newsletter and what is in EVALS. For this reason, I have created a content pyramid below which should help to differentiate between what can be found where. Of course the blog is free to all, while the newsletter and EVALS are available only to subscribers.

Related posts:

• The 1000^th Post
• The Post of the Month: An Informal History of VIX and More
• Top Posts of 2011
• Top Posts of 2010
• Top Posts of 2009
• Top Posts of 2008
• One Year Blogiversary! (includes top 25 posts of 2007)
  

Disclosure(s): short VXX at time of writing

Major Changes to the VIX and More Newsletter and to EVALS

Just a quick update to let readers know that there have been some substantial changes recently to the VIX and More subscriber newsletter and to VIX and More: EVALS.

Back in July I moved the publication of the VIX and More newsletter from Sundays to Wednesdays, due to subscriber feedback. At the time I also dramatically changed the focus of the newsletter content, again based on subscriber feedback, placing an increased emphasis on the analysis of VIX ETPs and ideas about how to trade them.

Two weeks ago I also completely overhauled EVALS so that it now focuses almost exclusively as a model portfolio for VIX ETPs.

Rather than go into the details of these changes in this space, those who are interested in more information are encouraged to check out:

• Changes to Newsletter Place More Emphasis on VIX Exchange-Traded Products
• EVALS Relaunches, Now Focusing on VIX Exchange-Traded Products

A large part of the reason for these changes is to link the newsletter and EVALS more tightly and also have EVALS complement and extend the analysis found in the newsletter.

Thanks to all those who have provided feedback along the way to enhance the value of these two services.

Disclosure(s): none