Volatility ETF Strategy, One Year In

02Nov12

I don’t often stop the geek train for a for-profit message, but it’s been one year since we launched our Volatility ETF Strategy, and a mention in in order.

In our first year of trading, we put together a 63.8% return with a max drawdown of -23.0% and a Sharpe Ratio of 2.1.


[logarithmically-scaled, growth of actual $25,000 tracking account]

Like everything we do at MarketSci, results are actual and verifiable. Only folks with nothing to sell, sell based on backtests or unverifiable returns.

In terms of risk-adjusted return (or more accurately, “volatility-adjusted” return), we outperformed the S&P 500, but underperformed buying & holding either short VXX or long XIV.

That’s fine of course because, as I’ve talked about before, there will always be a day of reckoning just over the horizon for anyone foolish enough to blindly play the short vol game.

Blindly following the VIX futures term-structure is a better choice, but that path too is fraught with gut-wrenching drawdowns.

I think there’s a happy medium to be had by putting a little money towards the pure term-structure play, and a little money towards playing the ebb and flow of the VIX while respecting the term-structure (read more).

Past performance is of course no guarantee of future results, but I think we’ve been able to strike that happy medium.

To find out more about subscribing to the Volatility ETF Strategy, including links to actual account statements, visit MarketSci.com.

Happy Trading,
ms

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