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Anchor Trades Performance


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#1 SteadyOptions

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Posted Tue 21 May 2013 - 12:40 PM

Please find below the Anchor Strategy historical performance.

 

The projected portfolio to use in back testing was developed using the exact same equities which were used over the past year in testing with live money. 

 

The strategy went "live" using real money, on March 30, 2012 -- here's the table of results:

 

Date               Strategy Return   S&P 500 Return    Difference

3/30/12           Inception        

4/30/12           2.0880%             -0.7500%                  2.838%

5/31/12           4.6525%               -6.2651%                10.918%         

6/30/12           1.8912%                 3.9563%                 -2.065%

7/31/12           3.7223%                 1.2590%                  2.463%

8/31/12          -0.1001%                1.9763%                 -2.076%

9/30/12          -1.0422%              2.4236%                 -3.466%

10/31/12        -0.4122%             -1.9789%                  1.567%

11/30/12          0.5026%              0.2847%                  0.218%

12/31/12        -0.3925%               0.7068%                -1.099%

1/31/13           2.6577%                 5.0428%               -2.385%

2/28/13           3.2056%               1.1061%                 2.100%

3/31/13           3.7856%               3.5988%                 0.187%

4/30/13           1.7852%               1.8086%                -0.023%

5/31/13          -3.8266%               2.0763%                -5.903%

6/30/13           2.2937%              -1.4999%                 3.794%

7/31/13          -0.0640%               4.8690%            -4.9340%

8/31/13          -4.0800%               -2..654%             -1.4300%

9/30/13           0.4259%                2.5479%             -2.1220%

10/31/13         5.2308%                4.8580%               0.3730%

11/30/13         -0.4673%               2.4143%               -2.882%

1/1/2014        0.6087%                  2.3563%              -1.748%

2/1/2014         -3.6542%              -3.5583%            -0.096%

3/1/2014         1.5753%                   4.3117%           -2.7364%

4/1/14           0.843%               0.6932%            0.150%

----------------------------------------------------------------------

Total:              22.510%        32.934%          -10.425%

2013 Total:       11.69%           29.60%            -17.94%

2014 YTD       -1.3115%         1.2974%         -2.609%

 

Currently hedged at March 2015 189

 

Backtested results for 2007-2012:

 

Year       Strategy return   S&P 500 Return      Difference

2012                13.527%            13.406%                  0.121%  

2011                18.368%             -0.003%                18.371%

2010                20.574%            12.783%                  7.791%

2009                23.717%            23.454%                 0.263%

2008                27.908%           -38.483%              66.391%

2007                  5.221%                3.530%                 1.691%

Total:       109.215%        14.687%          94.628%

 

As of 2014, I switched over to an ETF only model. Here are the backtesting results for the ETF model:

 

etf_backtesting.PNG

 

Years 2008 and 2009 are displayed below to show how the strategy would have performed in recent bull and bear markets.  The first column shows what the results of simply holding the equities, without any hedging (e.g. 100% long), in order that you may evaluate returns outside of stock selecting skill and/or good fortune to see the full benefit of the Anchor strategy hedging techniques.  The below calculations include dividends paid, margin interest costs, and trading costs .

 

Date             Equities only     Strategy Return  Return on S&P 500   Difference

12/31/07          Inception

1/31/08            0.298%                   0.298%            -6.116%                   6.414%

2/28/08           -2.407%                  -2.407%            -3.476%                  0.069%

3/31/08            3.961%                   3.961%             -0.596%                 4.557%

4/30/08            3.746%                   3.746%              4.755%                -1.009%

5/31/08            1.971%                   2.923%              1.067%                 1.855%

6/30/08           -8.064%                   5.927%             -8.596%                 2.669%

7/31/08            1.822%                   4.866%              -0.986%                 5.852%

8/31/08            5.065%                   2.712%               1.219%                 1.493%

9/30/08           -0.955%                   2.076%             -9.079%               11.155%

10/31/08         -8.960%                 10.975%             -9.079%               27.917%

11/30/08         -6.139%                   4.778%              -7.485%              12.263%

12/31/08          5.836%                  -2.120%               0.782%               -2.902%      

Total:           -5.159%          27.908%        -38.486%         66.394%

 

During one of the largest bear markets in the last two decades the Anchor Strategy would not have only outperformed the S&P 500 by a significant amount (over 66%), but would have had outside returns due to the value of the hedge itself (which occurred due to increasing volatility).  Please note these results are not typical in small bear markets.  In smaller bear markets, a member should still expect a positive return, just one much smaller in nature.  As can be seen, some of the returns were certainly due to the equities selected, as the model portfolio would have only lost five percent, as compared to the general loss of the market.  That aside, the strategy still outperformed a one hundred percent long position by almost thirty three percent.

 

Date             Equities only     Strategy Return    Return on S&P 500     Difference

12/31/08          Inception

1/31/09            0.076%                  1.852%              -8.566%               10.418%

2/28/09           -9.605%                 -5.847%           -10.993%                 5.146%

3/31/09            7.927%                10.692%               8.540%                  2.151%

4/30/09            3.687%                  4.882%               9.393%                -4.510%

5/31/09            3.362%                 -3.757%               5.308%                 -9.095%

6/30/09            1.327%                 -3.288%               0.020%                -3.307%

7/31/09            6.679%                  2.547%               7.414%                 -4.867%

8/31/09            4.690%                  1.992%               3.356%                 -1.364%

9/30/09            3.442%                13.187%               3.572%                  9.615%

10/31/09          0.026%                 -4.321%              -1.976%               -2.345%

11/30/09          5.306%                  2.629%                5.736%                -3.107%

12/31/09          3.327%                  2.703%               1.777%                  0.926%        

Total:         33.315%           23.717%        23.454%            0.263%

 

In a full bull market, where the S&P 500 returned over twenty percent, the strategy returned virtually identical performance to the market as a whole.  Some of the gain can be attributed to the stock selection as simply taking a one hundred percent long position on the same equities held by would have returned ten percent more than the hedged position.  Even taking stock selection skill and/or fortitude out of the equation, the strategy still would have had significant positive returns, meeting The Anchor strategy's stated objectives.



#2 cwelsh

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Posted Thu 11 July 2013 - 12:23 PM

Below are the updated results from March 31, 2013 through the end of June in my actual account, as well as in the Model Portfolios:

 

June Model Portfolios:

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

5/31/13           start date                                                 165.6

7/1/13             2.095%                   3.328%                    160.01/ -3.376%     5.471%                           6.704%

YTD                2.095%                   3.328%                    -3.376%                  5.471%                           6.704%

 

 

Actual Results (my portfolio)

Date               Strategy Return   S&P 500 Return    Difference

3/30/12           Inception        

4/30/12           2.0880%             -0.7500%                  2.838%

5/31/12           4.6525%             -6.2651%                10.918%         

6/30/12           1.8912%              3.9563%                 -2.065%

7/31/12           3.7223%              1.2590%                  2.463%

8/31/12          -0.1001%              1.9763%                 -2.076%

9/30/12          -1.0422%              2.4236%                 -3.466%

10/31/12        -0.4122%             -1.9789%                  1.567%

11/30/12          0.5026%              0.2847%                  0.218%

12/31/12        -0.3925%               0.7068%                -1.099%

1/31/13           2.6577%               5.0428%                -2.385%

2/28/13           3.2056%               1.1061%                 2.100%

3/31/13           3.7856%               3.5988%                 0.187%

4/30/13           1.7852%               1.8086%                 -0.023%

5/31/13           -3.8266%              2.0763%                 -5.903%

6/30/13           2.2937%               -1.4999%                3.794%

 

2013 Totals    10.11%                 12.63%                   -2.519%

Overall:            22.530%               14.044%                8.486%

 

So far this year, my actual portfolio is lagging a little behind, but with the large growth in the S&P 500, that is to be expected, particularly until the hedge is paid for.  The beating dividend stocks too in May did not help (and led to a stock reallocation and re-balancing).  Note also that the totals are no longer just "added" month to month results, rather actual compounded/compounding results tracked from a real portfolio.

 

If you notice the difference in the S&P 500 results between the two -- good eye, it has to do when the trades were opened.  The model portfolio for June was opened on May 31 when SPY was at 165.6 (I use the value as of when I made the post).  However, the actual portfolio results uses EOD values, which had SPY at 163.0.  That and the one day closing difference (last day of the month as opposed to first day reporting), makes up for the rest.  

 

 

 



#3 cwelsh

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Posted Mon 05 August 2013 - 12:07 PM

Below are the updated results through August 1, 2013 through the my actual account and the model portfolios.  You will notice some slight differences from the previous posts, as, per member comments, I have adjusted reporting to included cash positions, margin costs, dividends, and net long/short put positions at current liquidation valuations.

 

June Model Portfolios:

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

5/31/13           start date                                                 165.6

7/1/13             2.87%                      4.88%                      160.01/ -3.376%     6.246%                           8.256%

8/1/13             0.94%                      -2.79%%                  170.66/6.656%       -5.716%                          -9.466%

YTD                3.83%                       2.04%                     3.056%                   0.774%                            -1.016%

 

July Model Portfolios

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

7/1/13            start date                                                 160.01

8/1/13             4.11%                      0.62%                     170.66/ 6.66%%     -2.55%                           -6.04%

YTD                4.11%                      0.62%                    6.66%                      -2.55%                           -6.04%

 

 

 

Actual Results (my portfolio, note the one day difference in reporting, which is due to how my statements are generated).  Please note that the YTD returns are now compounded as well.

 

Date               Strategy Return   S&P 500 Return    Difference

3/30/12           Inception        

4/30/12           2.0880%             -0.7500%                  2.838%

5/31/12           4.6525%             -6.2651%                10.918%         

6/30/12           1.8912%              3.9563%                 -2.065%

7/31/12           3.7223%              1.2590%                  2.463%

8/31/12          -0.1001%              1.9763%                 -2.076%

9/30/12          -1.0422%              2.4236%                 -3.466%

10/31/12        -0.4122%             -1.9789%                  1.567%

11/30/12          0.5026%              0.2847%                  0.218%

12/31/12        -0.3925%               0.7068%                -1.099%

1/31/13           2.6577%               5.0428%                -2.385%

2/28/13           3.2056%               1.1061%                 2.100%

3/31/13           3.7856%               3.5988%                 0.187%

4/30/13           1.7852%               1.8086%                 -0.023%

5/31/13           -3.8266%              2.0763%                 -5.903%

6/30/13           2.2937%               -1.4999%                3.794%

7/31/13            -0.064%               6.66%                      -6.724

 

2013 Totals 



#4 cwelsh

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Posted Mon 02 September 2013 - 08:51 PM

Below are the updated results through September 1, 2013 through the my actual account and the model portfolios.

 

June Model Portfolios:

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

5/31/13           start date                                                 165.6

7/1/13             2.87%                      4.88%                      160.01/ -3.376%     6.246%                           8.256%

8/1/13             0.94%                      -2.79%                  170.66/6.656%       -5.716%                          -9.466%

9/1/13             -2.19%__________-3.88%                     163.29/-4.31%      2.19%                              0.43%

YTD                1.56%                       -1.71%                    -1.39%                   2.95%                            -0.32%

 

July Model Portfolios

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

7/1/13            start date                                                 160.01

8/1/13             4.11%                      0.62%                     170.66/ 6.66%       -2.55%                           -6.04%

9/1/13             -1.56%                    -2.81%                     163.29/-4.31%        2.75%                             1.5%          

YTD                2.48%                      -2.14%                    2.05%                      0.43%                           -1.31%

 

August Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

8/1/13            start date                                                    170.66.01

9/1/13             -3.86%                      -5.26%                     163.29/-4.31%       0.45%                           -0.95%         

YTD                -3.86%                      -5.26%                      -4.31%                  0.45%                          -0.95%

 

 

Actual Results (my portfolio, note the one day difference in reporting, which is due to how my statements are generated).  Please note that the YTD returns are now compounded as well.

 

Date               Strategy Return   S&P 500 Return    Difference

3/30/12           Inception        

4/30/12           2.0880%             -0.7500%                  2.838%

5/31/12           4.6525%             -6.2651%                10.918%         

6/30/12           1.8912%              3.9563%                 -2.065%

7/31/12           3.7223%              1.2590%                  2.463%

8/31/12          -0.1001%              1.9763%                 -2.076%

9/30/12          -1.0422%              2.4236%                 -3.466%

10/31/12        -0.4122%             -1.9789%                  1.567%

11/30/12          0.5026%              0.2847%                  0.218%

12/31/12        -0.3925%               0.7068%                -1.099%

1/31/13           2.6577%               5.0428%                -2.385%

2/28/13           3.2056%               1.1061%                 2.100%

3/31/13           3.7856%               3.5988%                 0.187%

4/30/13           1.7852%               1.8086%                 -0.023%

5/31/13           -3.8266%              2.0763%                 -5.903%

6/30/13           2.2937%               -1.4999%                3.794%

7/31/13            -0.064%               6.66%                      -6.724

9/03/13            -4.14%                -4.31%                      0.17%



#5 lee

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Posted Tue 03 September 2013 - 12:41 AM

Hi Chris, I'm not a subscriber to your Anchor Trades forum, but I'm certainly interested in all that you're doing with regard to this hedged portfolio idea.  I think you're remarkably creative and also grounded in your execution; a rare combination.

 

I'm wondering if you're willing to add a bit more color commentary to explain/describe the why you think the stock strategy so under-performed in May and August '13.  And also it looks like you're changing the ETFs around (either selection or allocation) a bit since the Spring. Perhaps you'd be willing to share some about the methodology there as well.  Best, Lee



#6 cwelsh

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Posted Tue 03 September 2013 - 03:28 PM

Here's my opinion:

 

By and large the big dividend paying stocks have significantly underperformed the market, really starting in May.  This has a little to do with raising interest rates and the fact that you now can get bonds on par with what the dividend payers are paying.  A year ago, you could get a 2x yield on a dividend stock / treasury.  You cannot anymore, so the market has sold off and some of those funds have transferred to higher beta stocks or to bonds.  Given the fact that I predicted the interest rate rise remarkably well, I guess I should have seen this repercussion, but I did not.

 

The re-weighting of the ETFs in August was a direct result of the above described change.  I felt that, with the sell off in dividend payers, they were due for a rebound, so weighting a little higher in the dividend paying etfs (as opposed to the equal weight RSP), would catch that rebound.  It obviously did not in August, so I switched back for September.  We'll see if it pans out over time.

 

I'll do a full quarterly review of all of the stocks in October, I try not to rush in and out of stocks, unless there's been some sort of major market news on a specific equity, and stick with my long term analysis of my holdings -- that's the whole point of the strategy after all. 

 

And let's not forget that this is a year-to-year strategy, so there will be a full 2%+ in dividends received, as well as higher returns as the hedge gets more and more paid off. 

 

The good news is that my actual fund, as well as all of the model portfolios are still completely on track to pay for the hedge on the year, which is our primary objective. 

 

As always, thoughts, questions, and criticisms are appreciated. 



#7 SteadyOptions

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Posted Tue 03 September 2013 - 11:32 PM

Let me add my two cents.

 

While 3 months since the strategy started as a public service is too short to jump to any conclusions, but lets take a look at June model portfolio since it has the longest history (3 months of data).

 

This was one of the worst possible periods for dividend stocks - and yet the stock portfolio performance was almost identical to S&P.

 

Chris mentioned few times that the worst case for the Anchor strategy is being whipsawed around your long put strike. This is exactly what happened several times during the last 3 months. Despite those not favorable market conditions, the ETF portfolio (which eliminates the impact of stock selection) outperformed the S&P by 3%.

 

To me, the performance during those 3 months just proves how powerful this strategy is.



#8 barefoottrader

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Posted Wed 04 September 2013 - 05:26 PM

Well, it will be interesting to see how the next 4 months play out. SPY out performance of Chris' actual stock portfolio in 2013 (thru August) is significant (+12.7% vs. +5.69%).  



#9 cwelsh

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Posted Tue 01 October 2013 - 03:49 PM

Below are the updated results through October 1, 2013 through the my actual account and the model portfolios.  On the model portfolios, I used as of market opening data.  On the actual fund, I used end of day yesterday (September 30, 2013).

 

June Model Portfolios:

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

5/31/13           start date                                                 165.6

7/1/13             2.87%                      4.88%                      160.01/ -3.376%     6.246%                           8.256%

8/1/13             0.94%                      -2.79%                  170.66/6.656%       -5.716%                          -9.466%

9/1/13             -2.19%                     -3.88%                     163.29/-4.31%      2.19%                              0.43%

10/1/13            0.61%                       -1.35%                    168/2.88%            -2.27%                            - 4.23% 

YTD                2.58%                       -2.53%                     1.45%                   1.13%                            -3.98%

 

July Model Portfolios

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

7/1/13            start date                                                 160.01

8/1/13             4.11%                      0.62%                     170.66/ 6.66%       -2.55%                           -6.04%

9/1/13             -1.56%                    -2.81%                     163.29/-4.31%        2.75%                             1.5%          

10/1/13           1.06%                       -1.18%                   168/2.88%             -1.82%                             -4.06% 

YTD                1.06%                      -3.29%                    4.76%                      -3.70%                           -8.05%

 

August Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

8/1/13            start date                                                    170.66

9/1/13             -3.86%                      -5.26%                     163.29/-4.31%       0.45%                           -0.95%         

10/1/13           0.84%                         -0.44%                   168/2.88%             2.04%                            -3.32%  

YTD                -2.59%                      -5.67%                      -1.56%                  -1.03%                          -4.11%

 

September Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

9/1/13            start date                                                    163.29

10/1/13           2.48%                     1.05%                          168/2.88%          -0.40%                             -1.83%             

YTD                 2.48%                     1.05%                          2.88%                 -0.40%                            -1.83%

                     

Actual Results (my portfolio, note the one day difference in reporting, which is due to how my statements are generated).  Please note that the YTD returns are now compounded as well.

 

Date               Strategy Return   S&P 500 Return    Difference

3/30/12           Inception        

4/30/12           2.0880%             -0.7500%                  2.838%

5/31/12           4.6525%             -6.2651%                10.918%         

6/30/12           1.8912%              3.9563%                 -2.065%

7/31/12           3.7223%              1.2590%                  2.463%

8/31/12          -0.1001%              1.9763%                 -2.076%

9/30/12          -1.0422%              2.4236%                 -3.466%

10/31/12        -0.4122%             -1.9789%                  1.567%

11/30/12          0.5026%              0.2847%                  0.218%

12/31/12        -0.3925%               0.7068%                -1.099%

1/31/13           2.6577%               5.0428%                -2.385%

2/28/13           3.2056%               1.1061%                 2.100%

3/31/13           3.7856%               3.5988%                 0.187%

4/30/13           1.7852%               1.8086%                 -0.023%

5/31/13           -3.8266%              2.0763%                 -5.903%

6/30/13           2.2937%               -1.4999%                3.794%

7/31/13            -0.064%                 6.66%                      -6.724

9/03/13            -4.140%                -4.31%                      0.17%

9/30/13             0.4259%             2.5479%                   -2.122% 



#10 cwelsh

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Posted Fri 08 November 2013 - 12:54 PM

Below are the updated results through October 31, 2013 through the my actual account and the model portfolios.  On all values I used October 31, 2013 data..

 

June Model Portfolios:

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

5/31/13           start date                                                 165.6

7/1/13             2.87%                      4.88%                      160.01/ -3.376%     6.246%                           8.256%

8/1/13             0.94%                      -2.79%                  170.66/6.656%       -5.716%                          -9.466%

9/1/13             -2.19%                     -3.88%                     163.29/-4.31%      2.19%                              0.43%

10/1/13            0.61%                       -1.35%                    168/2.88%            -2.27%                            - 4.23% 

10/31/13         3.26%                         4.92%                    176.02/3.95          -0.69%                             1.98%

YTD                5.92%                        2.80%                     6.29%                    -0.31%                           -3.49%

 

July Model Portfolios

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

7/1/13            start date                                                 160.01

8/1/13             4.11%                      0.62%                     170.66/ 6.66%       -2.55%                           -6.04%

9/1/13             -1.56%                    -2.81%                     163.29/-4.31%        2.75%                             1.5%          

10/1/13           1.06%                       -1.18%                   168/2.88%             -1.82%                             -4.06% 

10/31/13         3.46%                       5.40%                    176.02/3.94           -0.48%                            1.46%

YTD                8.08%                      2.85%                     10.01%                  -1.93%                           -7.16%

 

August Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

8/1/13            start date                                                    170.66

9/1/13             -3.86%                      -5.26%                     163.29/-4.31%       0.45%                           -0.95%         

10/1/13           0.84%                        -0.44%                   168/2.88%             2.04%                            -3.32%  

10/31/13         3.52%                        5.46%                     176.02/3.94          -0.42%                            1.48%

YTD                0.84%                        -0.52%                     3.14%                  -2.28%                          -2.62%

 

September Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

9/1/13            start date                                                    163.29

10/1/13           2.48%                     1.05%                          168/2.88%          -0.40%                             -1.83%             

10/31/13         7.32%                      9.34%                         176.02/3.94%      3.38%                               5.4%

YTD                9.98%                     10.49%                          7.07%                 2.91%                            3.42%

 

October Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

10/1/13            start date                                                    163.29

10/31/13           3.43%                     5.63%                          176.02/3.94%        -0.51%                            1.69%             

YTD                 3.43%                     5.63%                          3.94%                      -0.51%                            1.69%

                     

 

Overall October was a great month, pulling pretty much all of the models back in line with the S&P and continuing to stay on track.  The roll up to the 176 puts also helped quite a bit.



#11 cwelsh

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Posted Mon 09 December 2013 - 03:07 PM

Below are the updated results through December 1,  2013 through the my actual account and the model portfolios.  On all values I used November 29, 2013 close of market data.

 

June Model Portfolios:

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

5/31/13           start date                                                 165.6

7/1/13             2.87%                      4.88%                      160.01/ -3.376%     6.246%                           8.256%

8/1/13             0.94%                      -2.79%                  170.66/6.656%       -5.716%                          -9.466%

9/1/13             -2.19%                     -3.88%                     163.29/-4.31%      2.19%                              0.43%

10/1/13            0.61%                       -1.35%                    168/2.88%            -2.27%                            - 4.23% 

10/31/13         3.26%                         4.92%                    176.02/3.95          -0.69%                             1.98%

11/29/13          1.12%                        -0.43%                    181/2.83%           -1.71%                              -3.25%

 

July Model Portfolios

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

7/1/13            start date                                                 160.01

8/1/13             4.11%                      0.62%                     170.66/ 6.66%       -2.55%                           -6.04%

9/1/13             -1.56%                    -2.81%                     163.29/-4.31%        2.75%                             1.5%          

10/1/13           1.06%                       -1.18%                   168/2.88%             -1.82%                             -4.06% 

10/31/13         3.46%                       5.40%                    176.02/3.94           -0.48%                            1.46%

11/29/13          3.64%                       2.22%                    181/2.83%             0.81%                            -0.61%

 

August Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

8/1/13            start date                                                    170.66

9/1/13             -3.86%                      -5.26%                     163.29/-4.31%       0.45%                           -0.95%         

10/1/13           0.84%                        -0.44%                   168/2.88%             2.04%                            -3.32%  

10/31/13         3.52%                        5.46%                     176.02/3.94          -0.42%                            1.48%

11/29/13          3.65%                       2.25%                      181/2.83%            0.42%                            -0.58%

 

September Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

9/1/13            start date                                                    163.29

10/1/13           2.48%                     1.05%                          168/2.88%          -0.40%                             -1.83%             

10/31/13         7.32%                      9.34%                         176.02/3.94%      3.38%                               5.4%

11/29/13          -0.20%                     -1.69%                       181/2.83%           -2.63%                             -4.52%

 

October Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

10/1/13            start date                                                    163.29

10/31/13           3.43%                     5.63%                          176.02/3.94%        -0.51%                            1.69%             

11/29/13           1.54%                     0.01%                          181/2.83%             -1.29%                             -2.82%

 

Overall the portfolio's fell off SPY performance, largely due to the fact that they rolled the hedges up -- which incurs a cost.  However these are now hedged at  much higher level, and at the end of November, we were actually ahead of pace on paying.  In other words, while we did incur a cost, we are now hedged cheaper, at a higher level, which is a good result -- and demonstrates further that this model is really not correlated to the S&P 500 on a month to month basis. 



#12 cwelsh

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Posted Thu 02 January 2014 - 05:06 PM

Below are the updated results through January 1,  2014 through the my actual account and the model portfolios.  On all values I used January 1 2014 market data (so closing prices from December 31, 2013).  I am concerned the below numbers might be slightly skewed by the very wide bid/ask spreads that were posted on the last day of the year. 

 

I use the midpoint in calculating the value of the hedge, so a wide bid/ask might skew the below results.  (I used a $6.56 value on the Sept 2014 176 puts, moving this just $0.50 higher would have a several point difference in results -- the day I'm writing this post, those puts are worth $7.25).  In other words, while December is recording negative returns -- those are due to values in the long hedge, not values of the long positions (which performed quite well).  That said, for reporting purposes, I have to use the same method for reporting, even if that skews the results some.

 

 

 

June Model Portfolios:

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

5/31/13           start date                                                 165.6

7/1/13             2.87%                      4.88%                      160.01/ -3.376%     6.246%                           8.256%

8/1/13             0.94%                      -2.79%                  170.66/6.656%       -5.716%                          -9.466%

9/1/13             -2.19%                     -3.88%                     163.29/-4.31%      2.19%                              0.43%

10/1/13            0.61%                       -1.35%                    168/2.88%            -2.27%                            - 4.23% 

10/31/13         3.26%                         4.92%                    176.02/3.95          -0.69%                             1.98%

11/29/13          1.12%                        -0.43%                    181/2.83%           -1.71%                              -3.25%

1/1/14              -0.69%                      -1.00%                    184.69/2.039%     -2.72%                             -3.72%

Total:                6.37%                       1.48%                    11.528%               -5.16%                             -10.05%

 

  

July Model Portfolios

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

7/1/13            start date                                                 160.01

8/1/13             4.11%                      0.62%                     170.66/ 6.66%       -2.55%                           -6.04%

9/1/13             -1.56%                    -2.81%                     163.29/-4.31%        2.75%                             1.5%          

10/1/13           1.06%                       -1.18%                   168/2.88%             -1.82%                             -4.06% 

10/31/13         3.46%                       5.40%                    176.02/3.94           -0.48%                            1.46%

11/29/13          3.64%                       2.22%                    181/2.83%             0.81%                            -0.61%

1/1/2014          -3.06%                     -3.51%                   184.69/2.039%       -5.10%                          -5.55% 

                        8.60%                       1.45%                    15.42%                  -6.82                              -13.97

 

August Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

8/1/13            start date                                                    170.66

9/1/13             -3.86%                      -5.26%                     163.29/-4.31%       0.45%                           -0.95%         

10/1/13           0.84%                        -0.44%                   168/2.88%             2.04%                            -3.32%  

10/31/13         3.52%                        5.46%                     176.02/3.94          -0.42%                            1.48%

11/29/13          3.65%                       2.25%                      181/2.83%            0.42%                            -0.58%

1/1/14              -3.72%                      -3.62%                     184.69/2.039%      -5.76%                         -5.66%

                        0.63%                      -1.97%                     8.22%                     7.59%                           10.19%

 

September Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

9/1/13            start date                                                    163.29

10/1/13           2.48%                     1.05%                          168/2.88%          -0.40%                             -1.83%             

10/31/13         7.32%                      9.34%                         176.02/3.94%      3.38%                               5.4%

11/29/13          -0.20%                     -1.69%                       181/2.83%           -2.63%                             -4.52%

1/1/2014           0.16%                     0.01%                          184.69/2.039%   -1.88%                            -2.03%

                        7.98%                       6.70%                        12.35%                 -4.37%                           -5.65%

 

October Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

10/1/13            start date                                                    169.34

10/31/13           3.43%                     5.63%                          176.02/3.94%        -0.51%                            1.69%             

11/29/13           1.54%                     0.01%                          181/2.83%             -1.29%                             -2.82%

1/1/2014            -0.20%                   2.04%                           184.69/2.039%       -2.24%                          -0.24%

                          4.81%                    5.29%                            9.06%                    -4.25%                           -3.77%

 

Again, I do firmly believe these results are skewed because of the bid ask from the end of the year.  Just by way of example, looking at the October model.  If today's end of day values were used, SPY's return would be 8.02% and the ETF portfolio would be up 7.73% and the Stock portfolio would be up 7.89%.  Similar results carry across the board. 

 

Please note that the above do NOT include dividends either.  I'll update the dividend numbers annually, as they come in at varying times depending on your holdings. 



#13 cwelsh

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Posted Sun 02 February 2014 - 01:52 PM

Below are the updated results through March 1,  2014 for the model portfolios.  On all values I used the close of market data as of February 28, 2014.  

 

I also have gone back in and added in all dividends for the ETFs, stocks, and SPY -- so the below numbers might not add up if you are comparing the previous months results.  Below should be reflective of what has occurred in your accounts if you launched at the same time as a model and made all of the same as the posted rolls and adjustments.

 

Note that as of January 2014, my personal live trading accounts have switched to the ETF models, and as of this quarter, I am no longer list the stock models as that would be impossible to do (what would the stock holdings be?  That's way to subjective and susceptible to manipulation). 

 

The below really emphasizes what happens with the introduction of correlation risk if the stocks selected under perform the market index.  The extra few points gained in 2012 simply don't justify the risk, given the purpose of this model.  .

 

The worst performing model portfolio so far is the August -- as it had to be rolled up the quickest (in September, less than 30 days after opening), then being subject to the market declines.  It's the only portfolio that's NOT on pace to pay for the hedge still.  However, it's not far enough off to warrant complete readjustment.

 

 

June Model Portfolios:

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

5/31/13           start date                                                 165.6

7/1/13             2.87%                      4.88%                      160.01/ -3.376%     6.246%                           8.256%

8/1/13             0.94%                      -2.79%                  170.66/6.656%       -5.716%                          -9.466%

9/1/13             -2.19%                     -3.88%                     163.29/-4.31%      2.19%                              0.43%

10/1/13            0.61%                       -1.35%                    168/2.88%            -2.27%                            - 4.23% 

10/31/13         3.26%                         4.92%                    176.02/3.95          -0.69%                             1.98%

11/29/13          1.12%                        -0.43%                    181/2.83%           -1.71%                              -3.25%

1/1/14              -0.69%                      -1.00%                    184.69/2.039%     -2.72%                             -3.72%

2/1/14              -1.15%                      -2.57%                    178.18/-3.52        2.08%                              0.69%                           

3/1/14               2.20                                                         186.13/4.462%    -2.26%

Total:                9.24%                        0.40%                    12.397%               -3.157%                          -7.197%

  

July Model Portfolios

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

7/1/13            start date                                                 160.01

8/1/13             4.11%                      0.62%                     170.66/ 6.66%       -2.55%                           -6.04%

9/1/13             -1.56%                    -2.81%                     163.29/-4.31%        2.75%                             1.5%          

10/1/13           1.06%                       -1.18%                   168/2.88%             -1.82%                             -4.06% 

10/31/13         3.46%                       5.40%                    176.02/3.94           -0.48%                            1.46%

11/29/13          3.64%                       2.22%                    181/2.83%             0.81%                            -0.61%

1/1/2014          -3.06%                     -3.51%                   184.69/2.039%       -5.10%                          -5.55%

2/1/14              -1.44%                       -2.83%                    178.18/-3.52        2.08%                              0.69%                           

3/1/14              2.65%                                                        186.13/4.462%   -1.812

Total:                10.77%                        0.04%                    16.32%               -5.55%                             -11.32%

                  

 

August Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

8/1/13            start date                                                    170.66

9/1/13             -3.86%                      -5.26%                     163.29/-4.31%       0.45%                           -0.95%         

10/1/13           0.84%                        -0.44%                   168/2.88%             2.04%                            -3.32%  

10/31/13         3.52%                        5.46%                     176.02/3.94          -0.42%                            1.48%

11/29/13          3.65%                       2.25%                      181/2.83%            0.42%                            -0.58%

1/1/14              -3.72%                      -3.62%                     184.69/2.039%      -5.76%                         -5.66%

2/1/14              -0.44%                      -3.25                         178.18/-3.52%     -3.96%                         -6.77%

3/1/14              2.36                                                            186.13/4.462%    -2.102

                        1.91%                      -2.76%                     9.06%                     -7.15%                         -7.17%

 

September Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

9/1/13            start date                                                    163.29

10/1/13           2.48%                     1.05%                          168/2.88%          -0.40%                             -1.83%             

10/31/13         7.32%                      9.34%                         176.02/3.94%      3.38%                               5.4%

11/29/13          -0.20%                     -1.69%                       181/2.83%           -2.63%                             -4.52%

1/1/2014           0.16%                     0.01%                          184.69/2.039%   -1.88%                            -2.03%

2/1/2014           -2.40                      -3.87%                          178.18/-3.52%    -1.47%                          -0.35%

3/1/14                4.01%                                                         186.13/4.462%   -0.452

                         10.08%                      4.07%                         13.33%                 -3.25%                           -4.32%

 

October Model Portfolio

 

Date               ETF Portfolio          Stock Portfolio            SPY/SPY %           ETF Difference               Stock Difference

10/1/13            start date                                                    169.34

10/31/13           3.43%                     5.63%                          176.02/3.94%        -0.51%                            1.69%             

11/29/13           1.54%                     0.01%                          181/2.83%             -1.29%                             -2.82%

1/1/2014            -0.20%                   2.04%                           184.69/2.039%       -2.24%                          -0.24%

2/1/14               -1.78%                    -3.25%                          178.18/-3.52%       1.74%                             0.27%        

3/1/14               3.20%                                                           186.13/4.462%     -1.262%

                          6.69%                    3.35%                            10.02%                    -3.33%                           -1.87%

 

January 2014 Model Portfolio (started 1/3/2014 not 1/1/2014)

 

Date               ETF Portfolio                SPY/SPY%                   ETF Difference

1/3/2014         inception                        183.3                  

2/1/14              -0.18%                           178.18/-2.79%            2.61%

3/1/14              1.45%                            186.13/4.462%          -3.012

Totals                1.27%                           1.54%                        -0.27%

 

As noted above, the only true portfolio not performing as expected is the August, which was hit by a quick roll up, followed by a little bit of whipsawing.  Other than that, all of the ETF portfolios are functioning as planned.

 

As always, please email or PM me with any questions.



#14 cwelsh

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Posted Fri 25 April 2014 - 01:30 PM

Below are the updated results through April 1,  2014 for the model portfolios.  On all values I used the close of market data as of March 31, 2014.  

 

I have not updated for dividends received in March.

 

We also have rolled many of the long hedges recently, most of the models are protected at the 185 level now, or higher.

 

June Model Portfolios:

 

Date               ETF Portfolio          SPY %          Total

5/31/13           start date                                                

7/1/13              5.03%                   -3.38%

8/1/13              0.92%                   6.656%

9/1/13              -2.15%                  -3.674%

10/1/13            0.60%                   3.011%

11/1/13             3.20%                  3.945%

12/1/13             1.10%                  2.829%

1/1/14              -0.68%                  2.039%

2/1/14              -1.14%                  -3.525%

3/1/14               2.20%                  4.462%

4/1/14               0.13%                  0.473%                           

Total:                9.38%                  12.929%       -3.549%

 

Currently hedged at March 2015 189 Put

  

July Model Portfolios

 

 

Date               ETF Portfolio          SPY %          Total

7/1/13              start date

8/1/13              5.90%                   6.656%

9/1/13              -1.54%                  -3.674%

10/1/13            1.04%                   3.011%

11/1/13             3.43%                  3.945%

12/1/13             3.61%                  2.829%

1/1/14              -3.03%                  2.039%

2/1/14              -1.44%                  -3.525%

3/1/14               2.65%                  4.462%

4/1/14               0.22%                  0.473%                           

Total:                11.01%                 16.87%       -5.86%

                 

Currently hedged at March 2015 189 Put

 

August Model Portfolio

 

Date               ETF Portfolio          SPY %          Total

8/1/13              Start Date

9/1/13              -2.94%                  -3.674%

10/1/13            0.84%                   3.011%

11/1/13             3.51%                  3.945%

12/1/13             3.63%                  2.829%

1/1/14              -3.70%                  2.039%

2/1/14              -1.51%                  -3.525%

3/1/14               2.36%                  4.462%

4/1/14               0.27%                  0.473%                           

Total:                2.19%                 9.58%       -7.39%

 

Currently hedged at March 2015 189 Put

 

September Model Portfolio

 

Date               ETF Portfolio          SPY %          Total

9/1/13              Start Date

10/1/13            2.94%                   3.011%

11/1/13             7.28%                  3.945%

12/1/13             -1.96%                  2.829%

1/1/14               0.16%                  2.039%

2/1/14              -2.40%                  -3.525%

3/1/14               4.01%                  4.462%

4/1/14               0.43%                  0.473%                           

Total:                10.55%                 13.76%       -3.21%

 

Currently hedged at March 2015 189 Put

 

October Model Portfolio

 

Date               ETF Portfolio          SPY %          Total

10/1/13            Start Date

11/1/13             3.88%                  3.945%

12/1/13             1.53%                  2.829%

1/1/14               -0.20%                  2.039%

2/1/14              -1.78%                  -3.525%

3/1/14               3.20%                  4.462%

4/1/14               0.34%                  0.473%                           

Total:                7.05%                 10.43%       -3.38%

 

Currently hedged at March 2015 189 Put

 

January 2014 Model Portfolio (started 1/3/2014 not 1/1/2014)

 

Date               ETF Portfolio                SPY%                   ETF Difference

1/3/2014         inception                                        

2/1/14              -0.18%                         -2.79%            2.61%

3/1/14              1.45%                           4.462%          -3.012

4/1/14               0.10%                          0.47%                           

Totals                1.37%                           2.02%           -0.65%           

 

 

 

As always, please email or PM me with any questions.



#15 cwelsh

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Posted Mon 05 May 2014 - 10:32 AM

Below are the updated results through May 1, 2014 for the model portfolios.  On all values I used the close of market data as of April 30, 2014.  

 

We also have rolled all of the hedges now, with the lowest being the 1Q 2014 Model Portfolio having the January 2015 185 Puts.  Most of the others are hedged to March 2015 at the 189 Put Level.

 

Performance this month was detrimentally impacted by one whipsaw event which meant we largely broke even on credits (instead of our goal of around 0.60 - 0.85).  So we are now a little "behind" on paying for the hedges.  This tends to even out during the year though and we now have a eleven months if you're hedged through March 2015.

 

June Model Portfolios:

 

Date               ETF Portfolio          SPY %          Total

5/31/13           start date                                                

7/1/13              5.03%                   -3.38%

8/1/13              0.92%                   6.656%

9/1/13              -2.15%                  -3.674%

10/1/13            0.60%                   3.011%

11/1/13             3.20%                  3.945%

12/1/13             1.10%                  2.829%

1/1/14              -0.68%                  2.039%

2/1/14              -1.14%                  -3.525%

3/1/14               2.20%                  4.462%

4/1/14               0.13%                  0.473%                           

5/1/14               -0.47%                 0.695%

Total:                8.87%                  13.714%       -4.304%

 

Currently hedged at March 2015 189 Put

  

July Model Portfolios

 

 

Date               ETF Portfolio          SPY %          Total

7/1/13              start date

8/1/13              5.90%                   6.656%

9/1/13              -1.54%                  -3.674%

10/1/13            1.04%                   3.011%

11/1/13             3.43%                  3.945%

12/1/13             3.61%                  2.829%

1/1/14              -3.03%                  2.039%

2/1/14              -1.44%                  -3.525%

3/1/14               2.65%                  4.462%

4/1/14               0.22%                  0.473%                           

5/1/14               -0.77%                 0.695%

Total:                10.16%                 17.69%       -7.53%

                 

Currently hedged at March 2015 189 Put

 

August Model Portfolio

 

Date               ETF Portfolio          SPY %          Total

8/1/13              Start Date

9/1/13              -2.94%                  -3.674%

10/1/13            0.84%                   3.011%

11/1/13             3.51%                  3.945%

12/1/13             3.63%                  2.829%

1/1/14              -3.70%                  2.039%

2/1/14              -1.51%                  -3.525%

3/1/14               2.36%                  4.462%

4/1/14               0.27%                  0.473%                           

5/1/14               -0.58%                0.695%

Total:                1.60%                 10.34%       -8.74%

 

Currently hedged at March 2015 189 Put

 

September Model Portfolio

 

Date               ETF Portfolio          SPY %          Total

9/1/13              Start Date

10/1/13            2.94%                   3.011%

11/1/13             7.28%                  3.945%

12/1/13             -1.96%                  2.829%

1/1/14               0.16%                  2.039%

2/1/14              -2.40%                  -3.525%

3/1/14               4.01%                  4.462%

4/1/14               0.43%                  0.473%                           

5/1/14               0.84%                  0.695%

Total:                11.48%                 14.55%       -3.07%

 

Currently hedged at March 2015 189 Put

 

October Model Portfolio

 

Date               ETF Portfolio          SPY %          Total

10/1/13            Start Date

11/1/13             3.88%                  3.945%

12/1/13             1.53%                  2.829%

1/1/14               -0.20%                  2.039%

2/1/14              -1.78%                  -3.525%

3/1/14               3.20%                  4.462%

4/1/14               0.34%                  0.473%                           

5/1/14               -0.57%                 0.695%

Total:                6.44%                 11.20%       -4.76%

 

Currently hedged at March 2015 189 Put

 

January 2014 Model Portfolio (started 1/3/2014 not 1/1/2014)

 

Date               ETF Portfolio                SPY%                   ETF Difference

1/3/2014         inception                                        

2/1/14              -0.18%                         -2.79%            2.61%

3/1/14              1.45%                           4.462%          -3.012

4/1/14               0.10%                          0.47%                           

5/1/14               0.07%                          0.695%

Totals                1.44%                           2.73%           -1.29%           

 

Hedged at January 2015 185

 

 

2Q 2014 Model Portfolio (started 1/3/2014 not 1/1/2014)

 

Date               ETF Portfolio                SPY%                   ETF Difference

4/4/2014         inception                                        

5/1/4                -0.14%                        0.695%                                       

Totals                -0.14%                       0.695%                 -0.84%

 

Hedged at March 2015 188

 

As always, please email or PM me with any questions.



#16 cwelsh

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Posted Wed 30 July 2014 - 05:19 PM

January 2014 Model Portfolio (started 1/3/2014 not 1/1/2014)

 

Date               ETF Portfolio                SPY%                   ETF Difference

1/3/2014         inception                                        

2/1/14              -0.18%                         -2.79%           

3/1/14              1.45%                           4.462%         

4/1/14               0.10%                          0.47%                           

5/1/14               0.07%                          0.695%

6/1/14               1.49%                          2.32%

7/1/14               2.95%                          1.58%______________________

Totals                4.01%                          6.78%           -2.77%           

 

Hedged at June 2015 198

 

 

2Q 2014 Model Portfolio (started 1/3/2014 not 1/1/2014)

 

Date               ETF Portfolio                SPY%                   ETF Difference

4/4/2014         inception                                        

5/1/14                -0.14%                        0.695%          

6/1/14                2.06%                          2.32%      

7/1/14                -0.02%                        1.58%__________________

Totals                1.90%                         4.66%                 -2.76%

 

Hedged at March 2015 188

 

As always, please email or PM me with any questions.






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