I’ve changed up this section a bit and decided to stop posting updates for my trades and returns. I’ll keep my cumulative performance and summary statistics posted here and the rest of my blog entries will be dedicated to portfolio research. Be sure to check out my GitHub for code updates and projects!

Key Statistics
Inception Date 10-21-2015
Cumulative Return Since Inception 0.3371
Same Period SPY Cumulative Return 0.3125
Best 1-Day Return 0.0322
Worst 1-Day Return -0.0875

Risk Measures
Max Drawdown -0.1356
Peak-To-Valley 12-29-2015 to 01-07-2016
Recovery Time 139 Days
Sortino Ratio 1.23
Annualized Volatility 0.1222
Annualized Return 0.1566
Positive Periods 315 (62.13%)
Negative Periods 195 (37.50%)

Cumulative Portfolio Return vs SPY Return Since Inception
portfolio-comparison

VIX Index Low Streaks

I came across an interesting article here giving some more history into low VIX levels. Overall, a quick summary of the results are just: Since the U.S. Election of 2016, the S&P 500 has surged higher, while implied volatility (the VIX) has plummeted. While super low volatility periods seem unsustainable, they have the tendency to…

Details