Both the momentum and SPY\/TLT trades are now closed for good. We’re left just with protector alpha and the modified iron condors.<\/p>\n
I closed the SPY\/TLT pair trade for -14.4% for February\u00a0and +10% for March. Those aren’t terrible results for the amount of volatility present in TLT and SPY during those months. Not to mention that SPY\/TLT both fell for a while there in late Feb\/early March. As well, TLT was up 11% in January and fell the same in February, that’s a lot of volatility for treasuries. It’ll be the last official pair trade for a while.<\/p>\n
The momentum portion is also now closed at 0.25% profit. I don’t leverage this and its not attractive for me at this time. I like to use leverage with low-volatility strategies that have low max draw downs. Owning any equity unprotected is just too much risk for me \ud83d\ude42<\/p>\n
This months MIC is up 2.4% so far and I typically leverage it about 3x. \u00a0The previous month I did 5.7%. \u00a0I took off 14 1180\/1200 debit spreads yesterday.<\/p>\n
The protector Alpha is up about 1.4% for the year including the hedge. \u00a0Spy is up about 1%. \u00a0We’re outperforming the broad market AND we’re 100% hedged. Good result indeed. \u00a0My expectation is that this will chug along and end up 10-15% for 2015. I leverage this at 7x usually so it’s up about 10% for me on the year.<\/p>\n
On that note, what do I expect going forward?<\/p>\n
I expect to do about 3.3% a month on the MIC and an average of about 10-15% a year on the Alpha protector. I leverage the MIC about 3x and I leverage the protector about 7x. \u00a0So with leverage I expect about 10% a month on the MIC and about 7.5% a month on the protector. This is the return on the actual equity I have invested. My position and take on leverage is this: If I’d normally invest 250k in some strategy but I can do it with leverage and have only 50k tied up, then why would I tie up 250k? \u00a0First, I determine my max draw down that I’d be comfortable with and then I put the least amount of money I need to work to achieve this level of risk\/volatility.<\/p>\n
As an example:<\/p>\n
Let’s consider the protector. Let’s say I am comfortable with a 100k draw down and I figure that this is the MDD on 1MM of hedged equity. \u00a0I first must accept that I will likely have a 100K draw down at some point in time and be comfortable with that. Next, because I have portfolio margin, I figure out how much cash\u00a0I need to put up to achieve that goal and\u00a0I put the least amount down as possible which, for this example, is roughly 150k at 7x leverage. \u00a0Now I have 1MM worth of exposure at 150k and I am comfortable with the likelihood of a 100k draw down. It’s a concept\u00a0that Scot bilington built into his optimum fund at Covenant capital. That’s a 66% draw down on original equity! \u00a0That sounds crazy but it isn’t IF you’ve put down 7x less than you normally would have.<\/p>\n
With the protector, I am comfortable with a max draw down and while I don’t suggest other people use this amount of leverage, it can be quite useful when handled with absolute care. I do it because I understand the draw downs and the risk and I can afford and stomach the swings. \u00a0When you leverage the protector at 7x, you can expect 25%+ draw downs mark-to-market. With the MIC, if you set a 7% max loss, you’d have a 21% draw down.<\/p>\n
As for the travels:<\/p>\n
Tomorrow we hit London for a night, followed by Toronto for a night, then the final destination – Grand Cayman!<\/p>\n
<\/p>\n
~P<\/p>\n
<\/p>\n
<\/p>\n","protected":false},"excerpt":{"rendered":"
Both the momentum and SPY\/TLT trades are now closed for good. We’re left just with protector alpha and the modified iron condors. I closed the SPY\/TLT pair trade for -14.4% for February\u00a0and +10% for March. Those aren’t terrible results for the amount of volatility present in TLT and SPY during those months. Not to mention … Continue reading Mar 17 – Trade Plan<\/span><\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2},"jetpack_post_was_ever_published":false},"categories":[1],"tags":[6,3,5,4,10,9,7],"class_list":["post-401","post","type-post","status-publish","format-standard","hentry","category-trades","tag-jeep-trade","tag-mic","tag-modidor","tag-modified-iron-condor","tag-spytlt","tag-spytlt-pair-trade","tag-weirdor"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p5IMbd-6t","jetpack-related-posts":[],"_links":{"self":[{"href":"http:\/\/www.travelsandtrades.com\/index.php?rest_route=\/wp\/v2\/posts\/401","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/www.travelsandtrades.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/www.travelsandtrades.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/www.travelsandtrades.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/www.travelsandtrades.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=401"}],"version-history":[{"count":5,"href":"http:\/\/www.travelsandtrades.com\/index.php?rest_route=\/wp\/v2\/posts\/401\/revisions"}],"predecessor-version":[{"id":406,"href":"http:\/\/www.travelsandtrades.com\/index.php?rest_route=\/wp\/v2\/posts\/401\/revisions\/406"}],"wp:attachment":[{"href":"http:\/\/www.travelsandtrades.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=401"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/www.travelsandtrades.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=401"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/www.travelsandtrades.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=401"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}