As of Oct 2, the protector alpha is down about 3.5% (vs SPY -5.4%) and in the baseline portfolio we use 1.6x leverage thus the official trade is down about 5.6% real equity and probably a bit more today. The last month it has seen some correlation issues with the equities chosen vs the market. However, the mechanical system has outperformed SPY since the start of the year. We’ve also obviously experienced a little bit of whipsaw in the short rolls and quick overnight moves. These things will correct itself over time. It’s a long term portfolio. The equities will or should out perform SPY over time and the hedge will eventually pay for itself. The portfolio was up some money during the Aug 24 crash and the week following. The volatility in the longs helped and as well, the equities were still overall following the market. It’s just the past 3 weeks with healthcare and biotech falling, that we’ve seen some big disconnects. The challenges of trading 🙂
It’s definitely been the most challenging 5 weeks of trading for me. If it wasn’t the Aug 24 crash decimating my Modified condors, it’s an 8 trading hour 6% move that halves my M3 profits, or its a correlation issue in the protector alpha 🙂
Onwards and upwards I guess.