So yesterday was an interesting day.
SPY is both negative on the year AND it was a big 1.65% down day. During these types of days I like to analyze the resilience of our trading strategies, especially, the a protector portfolios.
So let’s recap: SPY opened the year at 206.38 and it closed the day yesterday at 204.98. It’s down 0.68% for the year.
The equities (alpha portion) is actually up about 0.4% on the year and the hedge is down about the same. We’re essentially break even on the Alpha protector portfolio and the market is down nearly a percent. Better than expected. Had we used straight RSP we’d be down about 1% (0.68% + 0.4%). Note that over the course of the year, the hedge would pay for itself and we’d consider ourselves up 0.4% on the year. Factor in dividends etc and it’s even more. We can expect the trade to do well in bear and neutral markets . Having only been in the trade for a little over 2 months and being break even while the market is down is fantastic. The trade under-performs for its first few months typically as the hedge is far from paid for.
The momentum portion which we had running for a bit ended break-even.
The SPY/TLT pair trade for March is currently down 17% vs SOs 41%. We’ve got about 7% of the position left (201/196 and literally a few 205/200s and 206/201s) with a few TLTs. Maybe we can get it down to about 15% loss. Monitoring. The Feb trade was up 10%. So we’re down overall on the SPY/TLT trade.
The MICs have all done v. well. Glad to have refreshed and realigned my outlook on the MIC. Looking forward to managing this and the protector as my main strategies going forward.
So in conclusion for this very volatile year the results after a huge down day that took the markets negative for the year:
Protector: 0%
SPY/TLT: -7%
Momentum: 0%
MIC: TBA