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Long / Cash Portfolio Performance 2012

Published on January 2, 2013 by in Long Cash Performance
Long / Cash Portfolio Performance

For the year 2012 our Core Long / Cash portfolio gained 5.42%.  For tracking purposes we simply use the S&P 500 Index (SPX) as the long portion of the portfolio, however, you can use the core portfolio signals to increase or decrease exposure to an actively managed portfolio of stocks. Our Long / Cash portfolio that uses our market risk indicator  gained 7.0% in 2012. It outperformed or Core portfolio due to a couple of instances where it went to cash just before a market decline.  As expected, for a year where the market is in a choppy uptrend the two Long / Cash portfolios under performed SPX.  We feel both portfolios had a good year considering the possible tail risk events in 2012. The chart above compares SPX to our two strategies.  The black line represents SPX, the green line represents our Core Long / Cash strategy, and the red line represents our Long / Cash strategy incorporating our market risk indicator. If you look closely at the chart

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Long / Short Portfolio Performance 2012

Published on January 2, 2013 by in Long Short Performance
Long Short Portfolio Performance

For the year 2012 our Long / Short Hedged portfolio gained 1.26%.  Not a great year when measured against the S&P 500 Index (SPX) which was up 13.4%.  The portfolio is up 104.2% since inception on 7/3/2006.  Most of the under performance during 2012 was a result of being aggressively hedged twice where the market didn’t suffer a substantial decline.  In addition, from mid March thru the middle of May the portfolio gave back some gains it had achieved during the rally from the first part of the year.  We’re comfortable that the portfolio eked out a small gain considering all the potential tail risk events of 2012.     On the chart above we compare the performance of the S&P 500 Index against our Long / Short Hedged portfolio from its inception on 7/3/2006. On the chart below the green lines represent when we added long exposure (and reduced hedges).  The yellow lines represent reducing longs and increasing shorts (using a simple short of SPY)  in the portfolio.  The

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When Machines Take Control

Published on August 1, 2012 by in Hedging Strategy, Portfolio Performance

Today it was reported that Knight Capital had a problem with their trading and market making algorithms which caused the NYSE to review the trades of 148 stocks earlier in the day.  Their review concluded that trades in six stocks would be canceled if they fell outside of a 30% band (either high or low from the day’s open).  Bottom line, a machine ran amok. Days like today make us feel glad we hedge.  Just as we did on May 6th, 2010…the flash crash. We didn’t see any problems in the market and in fact our hedging strategy was adding exposure.  We got 60% exposed (80% long and 20% short) on 4/5/2010.  It looked to us according to all our core indicators that this was a rally that might stick.  Then during the week of of April 26th 2010 our market risk indicator flashed.  It closed the week with a Market Risk Warning so on Monday the 3rd our portfolio was fully hedged.  The first few days of the week

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© DownsideHedge 2012
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