Three weeks ago we wrote this newsletter detailing the recent comeback seen by options sellers and short volatility strategies. The crux of the story was that while these strategies had made an impressive comeback after two years of disappointing performance, that investors should still be wary of the potential for losses during the next volatility spike. Well the volatility spike that we were all waiting for started gaining steam last week before hitting the max capitulation point yesterday in precious metals. The results, as you might expect, are not pretty.
|
Option CTA Performance April 2013 |
|||
|
Program |
MTD %* |
Max DD* |
Strategy Type |
|
0.15% |
-1.42% |
Options |
|
|
-1.27% |
-3.31% |
Options |
|
|
-4.06% |
-6.32% |
Options |
|
|
-5.13% |
-18.73% |
Options |
|
|
-8.35% |
-8.35% |
Options |
|
|
-31.09% |
-31.09% |
Options |
|
*Attain estimate. Disclaimer: past performance is not necessarily indicative of future results.
Kudos to Newport for weathering the storm so far. As for the rest it is disappointing to see that the mistakes made by so many option programs in years past have been repeated again. New max drawdowns were set by Bluenose BI and White River Group. We’ll be in touch with the managers to discuss risk management, what went wrong, and reach out to clients with our thoughts moving forward.
On the positive side of things – the managers we expect to thrive during a volatility spike have done their job as evidenced by the top performing programs month to date:
|
Program |
MTD %* |
Max DD* |
Strategy Type |
|
4.96% |
-24.60% |
Multi Strategy |
|
|
3.29% |
-17.36% |
Specialty |
|
|
3.21% |
-17.32% |
Short Term |
|
|
3.19% |
-14.43% |
Specialty |
|
|
2.25% |
-16.51% |
Stock Index |
|
|
2.15% |
-17.57% |
Agriculture |
|
|
2.11% |
-19.34% |
Multi Strategy |
|
|
1.52% |
-20.41% |
Trend Following |
|
|
1.18% |
-9.24% |
Stock Index |
|
|
0.37% |
-19.11% |
Multi Strategy |
|
|
0.24% |
-9.67% |
Multi Strategy |
|
|
0.15% |
-1.42% |
Options |
|
|
0.03% |
-12.22% |
Multi Strategy |
|
|
0.00% |
-0.55% |
Specialty |
*Attain estimate. Disclaimer: past performance is not necessarily indicative of future results.
Today’s whiplash rally reversing some of yesterday’s broad selloff was not what the longer-term trend followers were hoping to see, but we’ll have to wait to find out whether we’ve seen the end of the trend, or just the beginning.