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2017 Mid-Year Performance Review

Despite the global uncertainty and the turmoil in the US political landscape, the global markets have had a relatively subdued six months since the start of the new year. Large caps have climbed over 7%, with most of the gains coming in the first two months of the year. Treasuries and gold are nearly flat, while oil has tumbled substantially, despite weakness in the US dollar.

 

Amid all the market churn, our Iron Condor and Trend newsletters both delivered healthy performance numbers and are well positioned for the second half of 2017. Let's check in on the numbers for the first six months of 2017:

Iron Condor Newsletter

Overall, the Iron Condor newsletter returned $854 over the first six months of the year, with only one month - March - finishing in the red. Using the recommended $2500 trading capital to run this program (to cover four 5 point iron condors plus $500 for early net-debit closes) translates to a 35% return on capital.

Looking at the distribution of weekly returns, we can see that the majority are positive and cluster between 1 and 1.50 while a few fat tails exist on the left side of the curve. These live results align well with the historical backtests we've conducted.

As an additional measure, we've simplified the management of losing trades to close them early rather than relying on more complex hedging techniques. This makes execution of the strategy easier for our subscribers and will help us better avoid the type of drawdowns that we saw in March. Since implementing this simplified approach, we've had fewer of the left side outliers.

 

We update the full trade log each week for all of our Iron Condor positions.

Trend Newsletter

The reboot of our Trend at the end of Q1 has proved to be a significant improvement over our previous incarnation - fewer trades, better returns. The newsletter has focused on long and short volatility ETFs (not options position) while gaining option exposure through SPY long calls and SPX short put spreads. Looking at the weekly returns below, we can see that the first week after a VIX jump led to our largest weekly gain, as XIV and ZIV (both short volatility ETFs) climbed substantially.

Since the reboot of our Trend service, we have delivered 5% in realized returns in the last three months and over 20% of real and unrealized returns in the same time period (short volatility positions are still open and are considered unrealized until closed). Approximately 75% of the returns in the past three months have come from short volatility products. Although they are closely correlated with the equity markets, they have continued to climb while the S&P (and related products) have remained consistently range-bound.

The following chart shows the weekly cumulative performance in Q2 since the inception of the revised Trend methodology (April-June):

Our full trade log is available to review - we post updates to it at the close of each month with all realized gains of the month and updated values for the open holdings.

 

Interested in diversifying your trading strategies? Looking to add credit spreads or volatility products to your asset list? Be sure to check out our full Iron Condor and Trend newsletter returns and features.

 
 
 

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