Sunday, July 11, 2010

Portfolio Performance for June 2010

"Time flies like an arrow; fruit flies like a banana" -- Groucho Marx

My how the months have zoomed by. As you can see from the site; I moved from blogger to wordpress. Haven't had the time to do much with the old posts. Most likely I will leave them as is and start from a clean slate. The most important posts anyway are of the portfolio performance and this post will take care of what's happening there.

You can see in the Figure 1 - VAMI; the portfolio is doing well...breaking free from the market. The main reason for this is a new trading system was added on June 1st. This trading system is a short-term mean-reversion system. It is doing as expected but taking some time to get used to. I've spent the better part of 10 years trading a long-term trend-following system. So, moving to a short-term mean-reversion system is going to take some adjustments on my part.

Again, all the charts show the portfolio breaking away from the market. June was a nasty month for the S&P 500...while the portfolio held its own. I feel I still have some work to do on the new system such as the proper risk allocation and determining a better weight for the systems in the portfolio. Also, the new system still has quite a bit of beta that I'd like to scale down. But, overall, a nice start.

On a personal note, I'm back from my yearly pilgrimage to Texas to see family & friends. Trip was good but volatile like the market.

We had to evacuate due to Hurricane Alex in the Gulf - almost lost our car.

Picture above is the day prior to the effects of Hurricane Alex.

And our transmission acted up on our stop at Broken Bow, OK - I'm guessing due to all the hill climbing.

I couldn't get over how clear the water was and the beautiful pine-lined hills surrounding the lake.

We had to cut our losses short in both of the places we would have liked to spend more time. Managing risk vs reward...being a portfolio manager is a 24x7 job.

Later Trades,