Volatility ETF Strategy, One Year In


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,

. . . . .

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