tag:blogger.com,1999:blog-71018183164700140362024-03-13T05:42:54.527-07:00VIX and More Subscriber Newsletter BlogBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger31125tag:blogger.com,1999:blog-7101818316470014036.post-15970129305663836792020-08-02T22:35:00.000-07:002020-08-02T22:35:28.717-07:00VIX and More Newsletter Update as of August 2020<p class="MsoNormal">It has been almost four years since I have updated here what
I have been doing with the <i>VIX and More</i> subscriber newsletter.<span style="mso-spacerun: yes;"> </span>Given all the craziness we have witnessed in
the markets this year, this seems like a good time to let potential subscribers
know what to expect with the current version of the newsletter, which was
launched over twelve years ago on March 29, 2008 and has undergone quite a few
tweaks along the way, with most of the changes driven by subscriber feedback.</p>
<p class="MsoNormal">In its current incarnation, the newsletter averages 12-13
pages and averages about one chart or graphic per page.<span style="mso-spacerun: yes;"> </span>The newsletter is emailed to subscribers
every Wednesday and has a relatively fixed format, with the following sections:<o:p></o:p></p>
<blockquote style="border: none; margin: 0px 0px 0px 40px; padding: 0px; text-align: left;"><p class="MsoNormal"><b><i>Market Commentary</i></b> – I begin each newsletter
with a recap of a half dozen or so of what I consider to be the key events of
the week.<span style="mso-spacerun: yes;"> </span>Here the focus is largely on
fundamentals and ranges from geopolitical events to the actions and words of
central banks across the globe to economic data or COVID-19 developments or
whatever forces are behind the movements in the financial markets.<span style="mso-spacerun: yes;"> </span>I will almost always tie in changes in interest
rates, commodities, volatility and stocks.<span style="mso-spacerun: yes;">
</span>[Includes a graphic of the SPX and VIX]</p><p class="MsoNormal"><b><i>Volatility Overview</i></b> – Over time, the
newsletter has slowly migrated from a publication that highlighted events in
the volatility world and offered analysis and trading ideas to something where
volatility, the VIX product space and options are central to the entire
narrative.<span style="mso-spacerun: yes;"> </span>Here one will find an
analysis of what happened in the volatility universe during the week, trends in
implied vs. realized volatility, as well as notable changes in volatility across
various geographies and asset classes, the VIX ETP space, tail risk,
buy-writes, etc.<span style="mso-spacerun: yes;"> </span>[Includes multiple
graphics comparing the VIX to SPX historical volatility as well as a table of
25 key elements in the volatility landscape]</p><p class="MsoNormal"><b><i>VIX Futures Term Structure</i></b> – In addition to
explaining past and future movements in the VIX ETPs, the VIX futures term
structure highlights upcoming event risk, changes in how investors perceive
structural/systemic volatility, seasonal factors and other anomalies.<span style="mso-spacerun: yes;"> </span>[Includes one graphic of the VIX futures term
structure vs. the past one or two weeks as well as a plot of the relative
levels of each VIX futures contract]</p><p class="MsoNormal"><b><i>Trading Volatility and the Short Vol Index</i></b> –
This section begins by explaining the statistical likelihood that the
short-term (e.g., VXX) and mid-term (e.g. VXZ) volatility ETPs will rise or fall
in the next two week (the proprietary Short Vol Index), then moves on to a
longitudinal study of various options trade ideas published in previous weeks.<span style="mso-spacerun: yes;"> </span>These options trade ideas encompass volatility,
U.S. and international equities, sectors, geographies, commodities, fixed
income and a wide variety of narrowly focused ETPs.<span style="mso-spacerun: yes;"> </span>Options trade ideas include spreads,
straddles, strangles, backspreads, ratios, synthetic options, condors, butterflies,
etc.<span style="mso-spacerun: yes;"> </span>The discussion includes new weekly
trade ideas and management of existing open trade ideas.<span style="mso-spacerun: yes;"> </span>[Typically, there are one or two tables used
to monitor open trade ideas, with performance and other relevant data]</p><p class="MsoNormal"><b><i>Risk Assessment:<span style="mso-spacerun: yes;">
</span>Evaluating Relative Risk and Volatility in Asset Classes, Geographies
and Sectors</i></b> – This may be my favorite section to write each week, as it
is typically full of insights not easily discoverable elsewhere.<span style="mso-spacerun: yes;"> </span>The data comes from an analysis of the
relative risk and uncertainty in 75 groups of asset classes, geographies and
sectors.<span style="mso-spacerun: yes;"> </span>The top five groups with the
highest relative risk score as well as the top five groups with the biggest
positive change in relative risk over the course of the past week are highlighted,
with a brief analysis of the factors that are responsible for elevated relative
risk.<span style="mso-spacerun: yes;"> </span>Here the hope is to identify
everything from areas where risk is overpriced to areas where risk is beginning
to trend upward, perhaps as part of an early warning signal.<span style="mso-spacerun: yes;"> </span>[Includes one table each for the top five
areas of relative risk as well as the top five weekly increases in relative
risk]</p><p class="MsoNormal"><b><i>The Fed</i></b> – Here I assess the consensus
expectations related to the evolution of Fed policy as well as my
interpretation of where the Fed is going and why it may diverge from consensus
expectations.<span style="mso-spacerun: yes;"> </span>I also delve into various speeches
and interviews during the week and the implications for changes in Fed policy
going forward.<span style="mso-spacerun: yes;"> </span>For Fed policy statements
and press conferences, the Wednesday publication provides an opportunity for a timely
summary and analysis of critical developments that arise from the eight annual
FOMC meetings.<span style="mso-spacerun: yes;"> </span>[The graphic in this
section range from the expected evolution of the fed funds rate to Summary of
Economic Projections, aka the “dot plots”]</p><p class="MsoNormal"><b><i>Featured Chart(s) and Commentary</i></b> – Each week I
include 2-4 charts that highlight subjects I consider to be key themes or data
trends in the economy or in areas that are likely to impact the economy and
financial markets.<span style="mso-spacerun: yes;"> </span>The subject matter
ranges from fundamental trends to economic data to market sentiment to political
factors or subjects such as COVID-19 data.<span style="mso-spacerun: yes;">
</span>Many of the charts make use proprietary indices and research.<span style="mso-spacerun: yes;"> </span>Typically, these graphics are key inputs into
the next section of the newsletter…</p><p class="MsoNormal"><b><i>Current Investment Thesis</i></b> – In many respects,
this section is the synthesis of all the sections above.<span style="mso-spacerun: yes;"> </span>Here I summarize my short-term tactical
thinking about the financial markets as well as offer up an intermediate-term
or sometimes long-term perspective on where I believe things are going.<span style="mso-spacerun: yes;"> </span>I touch on what is driving my investment
thesis, what key milestones lie ahead and how I am positioning myself to take
advantage of those opportunities.<span style="mso-spacerun: yes;"> </span>I
endeavor to make this a make this a wide-ranging investment thesis,
incorporating equities, volatility, commodities, fixed income and ETPs from
across the asset class spectrum.<span style="mso-spacerun: yes;"> </span>I
almost always delve into geographies, sectors and factors as well.<span style="mso-spacerun: yes;"> </span>While my focus is generally on growth and
speculative opportunities, depending upon the state of the markets, I typically
also discuss some hedging ideas as well as some income-oriented trade
ideas.<span style="mso-spacerun: yes;"> </span></p><p class="MsoNormal"><b><i>Featured ETP Trade Ideas</i></b> – New as of June 2019
is a section where I highlight three ETPs, indicate whether a long or short
bias makes sense over the course of the next 1-4 week options cycle and briefly
summarize my rationale for each trade idea.<span style="mso-spacerun: yes;">
</span>I also track performance of these ETP trade ideas in rolling one, two,
three and four-week portfolios and I am delighted by the performance of these
trade ideas in the first thirteen months since I began publishing this
information in this section.<span style="mso-spacerun: yes;"> </span>[Includes a
performance graphic for rolling one, two, three and four-week portfolios]</p></blockquote><p class="MsoNormal"><o:p></o:p></p>
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<p class="MsoNormal">For those seeking additional information on the newsletter,
I am offering a 14-day free trial (see top of right column) to the subscriber
newsletter for all new subscribers.</p>
<p class="MsoNormal">[Additionally, for those who may be interested exclusively
in trading VIX ETPs, my <a href="http://vixandmoreevals.blogspot.com/">VIX and
More EVALS</a> (ETP Volatility Analysis Long-Short) model portfolio service is
certainly worth investigating.]</p>
<p class="MsoNormal">Related posts:<o:p></o:p></p>
<ul type="disc">
<li class="MsoNormal" style="mso-list: l0 level1 lfo1; mso-margin-bottom-alt: auto; mso-margin-top-alt: auto; tab-stops: list .5in;"><a href="http://vixandmoresubscriber.blogspot.com/2017/01/vix-and-more-newsletter-update-as-of.html">VIX
and More Newsletter Update as of January 2017</a><o:p></o:p></li>
<li class="MsoNormal" style="mso-list: l0 level1 lfo1; mso-margin-bottom-alt: auto; mso-margin-top-alt: auto; tab-stops: list .5in;"><a href="https://d.docs.live.net/95e3c46f25a43d6f/Documents/Finance%20041120/Finance/VIX/VIX%20and%20More%20subscriber%20newsletter/VAM%20SNL%20Posts/Newsletter%20Update,%20Stock%20of%20the%20Week%20Performance%20Data%20and%20the%20Launch%20of%20New%20Investment%20Management%20Business">Newsletter
Update, Stock of the Week Performance Data and the Launch of New
Investment Management Business</a><o:p></o:p></li>
<li class="MsoNormal" style="mso-list: l0 level1 lfo1; mso-margin-bottom-alt: auto; mso-margin-top-alt: auto; tab-stops: list .5in;"><a href="http://vixandmoresubscriber.blogspot.com/2013/01/q4-2012-newsletter-update-with-stock-of.html">Q4
2012 Newsletter Update, with Stock of the Week +109% for 2012 and +4535%
Since Inception</a><o:p></o:p></li>
<li class="MsoNormal" style="mso-list: l0 level1 lfo1; mso-margin-bottom-alt: auto; mso-margin-top-alt: auto; tab-stops: list .5in;"><a href="http://vixandmoresubscriber.blogspot.com/2012/10/q3-2012-newsletter-update-with-stock-of.html">Q3
2012 Newsletter Update, with Stock of the Week +107% YTD and +4473 Since
Inception</a><o:p></o:p></li>
<li class="MsoNormal" style="mso-list: l0 level1 lfo1; mso-margin-bottom-alt: auto; mso-margin-top-alt: auto; tab-stops: list .5in;"><a href="http://vixandmoresubscriber.blogspot.com/2011/12/changes-to-newsletter-place-more.html">Changes
to Newsletter Place More Emphasis on VIX Exchange-Traded Products</a><o:p></o:p></li>
<li class="MsoNormal" style="mso-list: l0 level1 lfo1; mso-margin-bottom-alt: auto; mso-margin-top-alt: auto; tab-stops: list .5in;"><a href="http://vixandmoresubscriber.blogspot.com/2012/03/highlighting-newsletter-content-focus.html">Highlighting
Newsletter Content Focus with Content Pyramid</a><o:p></o:p></li>
<li class="MsoNormal" style="mso-list: l0 level1 lfo1; mso-margin-bottom-alt: auto; mso-margin-top-alt: auto; tab-stops: list .5in;"><a href="http://vixandmoresubscriber.blogspot.com/2011/04/newsletter-and-portfolio-performance.html">Newsletter
and Portfolio Performance Update Through 12/31/10 </a><span style="mso-spacerun: yes;"> </span></li></ul>
<p align="center" class="MsoNormal" style="text-align: center;"><b style="mso-bidi-font-weight: normal;"><i style="mso-bidi-font-style: normal;">Disclosure(s):</i></b><span style="mso-spacerun: yes;"> </span><i>net short VXX at time of writing<o:p></o:p></i></p><br />Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-86179842345664031192017-01-03T13:51:00.002-08:002017-01-03T13:53:11.044-08:00VIX and More Newsletter Update as of January 2017<div class="MsoNormal">
Since it has been over three years since I have posted about
the <i>VIX and More</i> Subscriber Newsletter,
I believe an update for potential new subscribers is long overdue.<o:p></o:p></div>
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<div class="MsoNormal">
First of all, the newsletter is still going strong and
will celebrate its nine-year anniversary in April. Over the years, the content has continued to
change and the newsletter has grown as new products have hit the market, global
macro issues have exerted a stronger influence on volatility, subscribers have
requested new types of content and my research interests have evolved.<o:p></o:p></div>
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In its current format, the newsletter is about twelve pages
long and is emailed out every Wednesday evening. The sections of the newsletter are largely
fixed for now and are as follows:</div>
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</div>
<ol>
<li><b><i>Market Commentary</i></b> – My recap and analysis of the most important
events and numbers impacting the financial markets over the course of the past
week, typically including graphs of the SPX, the VIX and at least one market
sentiment indicator.<br /></li>
<li><b><i>Volatility Overview</i></b> – A discussion of what happened in the
world of volatility during the past week, encompassing historical (realized)
volatility as well as implied volatility.
While the main focus is the VIX and other U.S. equity volatility
indices, I also discuss VIX ETPs, foreign equity volatility indices, volatility
indices across a broader range of asset classes (commodities, currencies,
bonds, etc.) and a select group of volatility ratios I monitor closely. This section includes one graphic of the VIX
vs. multiple measures of SPX historical volatility as well as a table covering
the performance of 24 of my favorite volatility indices, ETPs and ratios.<br /></li>
<li><b><i>VIX Futures Term Structure </i>– </b>Here I comment on the VIX futures
term structure and discuss the term structure relative to several historical
reference points, seasonal factors and other anomalies. Two separate graphics present the term
structure relative to historical data.<br /></li>
<li><b><i>Trading Volatility and the +XIV Index</i> – </b>This is typically the
longest section of the newsletter and makes use of my proprietary +XIV Index, translating
this index (which has shown a strong predictive ability for VIX ETPs for the
next 1-2 weeks) into more actionable trading ideas. The balance of the section examines new and
existing options trade ideas (involving primarily SPX, RUT, VIX, VXX and a
handful of highly liquid commodities and equities ETPs), including thoughts on position
management and related matters.
Typically, there are one or two tables used to monitor open trade ideas,
with performance and other relevant data.<br /></li>
<li><b><i>Risk Assessment: Evaluating
Relative Risk and Volatility in Asset Classes, Geographies and Sectors</i></b> –
This section drills down on where some of the risk outliers are across the full
universe of asset classes, geographies and sectors. Here is where one is most likely to find an
early warning signal for the next evolving risk area as well as identify areas
where risk is overpriced or under priced.
This may be my favorite section to write each week, as it is always
topical and helps to put a wide range of current threats and opportunities into
perspective, including some analysis of the key drivers of risk in each area. Each week, three separate graphics highlight
the top five areas of highest relative risk in terms of asset classes,
geographies and sectors.<br /></li>
<li><b><i>Probability of a Third Rate Hike, Based on Fed Funds Futures Data</i></b>
– This section was inspired by the 2013 “Taper Tantrum” following Ben Bernanke’s
first mention of the Fed’s intention of cutting back on monetary stimulus
measures. In this section I translate
futures data into forward-looking probabilities and trends, overlay my own thinking
and discuss issues related to the Fed, interest rates and central bank policy
in general. There are one or sometimes
two graphics related to interest rate expectations here. (The section title is a lot narrower than the
target subject matter.)<br /></li>
<li><b><i>Featured Chart(s) and Commentary</i></b> – The best part about this
section is that it gives me an opportunity to drill down on one or more issues
that may not fit neatly into any of the other sections. Typically, there are anywhere from one to
four charts covering one or two subjects that range from economic data to market
sentiment to political developments, often using making use of my proprietary
indices and research to highlight areas of current and evolving
importance. In football parlance, this
is where I get to call an audible at the line of scrimmage.<br /></li>
<li><b><i>Current Investment Thesis</i></b> – The flow of the first seven
sections typically provides a natural lead-in for my current investment thesis –
which is typically a multi-part thesis.
Here I summarize my short-term tactical thinking about the financial
markets as well as offer up an intermediate-term or sometimes long-term
perspective on where I believe things are going. I touch on what is driving my investment
thesis, what key milestones lie ahead and how I am positioning myself to take
advantage of those opportunities. I endeavor
to make this a make this a wide-ranging investment thesis, incorporating equities,
volatility, ETPs from across the asset class spectrum, as well as geographies
and sectors. While my focus is generally
on growth and speculative opportunities, depending upon the state of the
markets, I typically also delve into some hedging ideas as well as some
income-oriented trade ideas. Last but
not least, each week I offer up a list of my favorite ETP trading ideas and the
rationale behind these trades, typically with three new long or short ETP trading
ideas added to the list each week. </li>
</ol>
Once a year I also formally survey subscribers to get their
input on how the newsletter can be improved.
This means that while the general structure and format of the newsletter
remains similar from year to year, as market conditions and subscriber input warrant,
new sections can crop up at any time and old sections may morph into something different
or be dropped altogether.<o:p></o:p><br />
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For those seeking additional information on the newsletter,
I am offering a 14-day free trial (see top of right column) to the subscriber
newsletter for all new subscribers.<o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<i>[Additionally, for
those who may be interested exclusively in trading VIX ETPs, my </i><a href="http://vixandmoreevals.blogspot.com/"><i>VIX
and More EVALS</i></a><i> (ETP Volatility
Analysis Long-Short) model portfolio service is certainly worth investigating.]<o:p></o:p></i></div>
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Related posts:<br />
<!--[endif]--><o:p></o:p></div>
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</div>
<ul>
<li><a href="http://vixandmoresubscriber.blogspot.com/2013/08/newsletter-update-stock-of-week.html">Newsletter
Update, Stock of the Week Performance Data and the Launch of New Investment
Management Business</a></li>
<li><a href="http://vixandmoresubscriber.blogspot.com/2013/01/q4-2012-newsletter-update-with-stock-of.html">Q4
2012 Newsletter Update, with Stock of the Week +109% for 2012 and +4535% Since
Inception</a></li>
<li><a href="http://vixandmoresubscriber.blogspot.com/2012/10/q3-2012-newsletter-update-with-stock-of.html">Q3
2012 Newsletter Update, with Stock of the Week +107% YTD and +4473 Since
Inception</a></li>
<li><a href="http://vixandmoresubscriber.blogspot.com/2011/12/changes-to-newsletter-place-more.html">Changes
to Newsletter Place More Emphasis on VIX Exchange-Traded Products</a></li>
<li><a href="http://vixandmoresubscriber.blogspot.com/2012/03/highlighting-newsletter-content-focus.html">Highlighting
Newsletter Content Focus with Content Pyramid</a></li>
<li><a href="http://vixandmoresubscriber.blogspot.com/2011/04/newsletter-and-portfolio-performance.html">Newsletter
and Portfolio Performance Update Through 12/31/10</a> </li>
</ul>
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<b><i>Disclosure(s):</i></b> <i>none</i><o:p></o:p></div>
Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-7490563156531917932013-08-05T13:53:00.001-07:002013-08-05T14:19:13.550-07:00Newsletter Update, Stock of the Week Performance Data and the Launch of New Investment Management Business<p>Now just shy of 5 ½ years since it was launched, the <i>VIX and More</i> Newsletter continues to grow and evolve, with an increased emphasis on the volatility landscape, volatility products and related options trades since the beginning of the year. There was a time when investors only cared about the VIX and volatility when it was at elevated levels, but lately there seems to be as much concern about a low VIX as a high VIX and there is even some debate about whether the VIX is an accurate gauge of risk in the financial markets, a theme I address in <a href="http://vixandmore.blogspot.com/2013/07/guest-columnist-at-striking-price-for.html">Guest Columnist at The Striking Price for Barron’s: How to Spot Risk Early</a>.</p> <p>During the course of 2013, the newsletter has made a number of inroads into new territory, including:</p> <ul> <li>One area where the newsletter is always evolving is its coverage of volatility indices that cut across asset classes, geographies and sectors; the recent addition of the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (<a href="http://vixandmore.blogspot.com/search/label/VXTNY">VXTYN</a>) to the Volatility Update table and Volatility Overview section of the newsletter is one example of that trend</li> <li>Another enhancement to the Volatility Update table and Volatility Overview section of the newsletter is the use of <a href="http://en.wikipedia.org/wiki/Sparkline">sparklines</a> to make it easier for readers to visualize where current volatility levels are relative to the range of volatility readings over the course of the past year</li> <li>A third enhancement has been a deliberate effort to focus on a greater number of trade ideas for each issue, to make those trade ideas more specific and less general, and to cast a wider net in terms of asset classes, geographies and sectors for those trade ideas</li> <li>While volatility ETPs and ETPs with an embedded options component continue to be one of the most important focus areas of the newsletter, I have recently made an effort to devote more attention to newer and lesser-known products in the VIX and options ETP space</li> <li>At the same time, I have also begun to include more analysis and discussion of VIX and volatility options trades and have also expanded the options component of the newsletter to incorporate the analysis and discussion of options trades for indices as well as ETPs in non-equity asset classes</li> </ul> <p>One of the most popular features of the newsletter since its launch has been the Stock of the Week, which has posted head-turning numbers in four of the six years it has been operating. As the table below shows, the performance for the Stock of the Week in 2013 has not lived up to historical standards and I have no particular explanation for why 2011 and 2013 show significantly lower returns than the other four years. Of course, with a single stock ‘portfolio’ whose average weekly change is 5.0% per week, there is necessarily a huge variation in returns, particularly for measurement periods of less than one year.</p> <p align="center"><img src="http://i104.photobucket.com/albums/m163/bl82/SOTWthrough080213_zpsbd059023.png" /></p> <p align="center"><i>[source(s): VIX and More]</i></p> <p>Please note that as is the case with <a href="http://vixandmoreevals.blogspot.com/2013/08/evals-performance-update-143-since_3.html">EVALS performance data</a>, going forward<b><i> I will no longer be publicly updating Stock of the Week performance data</i></b> due to a variety of factors related to the launch of my new investment management business. I will continue to offer the newsletter service and the Stock of the Week selection (details below) and will be pleased to discuss current performance data privately. Also, as soon as the launch of my new investment management business is finalized, I will highlight some of the particulars in this space.</p> <p><i>[For those seeking additional information on the newsletter, I am offering a 14-day free trial (see top of right column) to the subscriber newsletter for all new subscribers. Additionally, for those who may be interested exclusively in trading VIX ETPs, my <a href="http://vixandmoreevals.blogspot.com/">VIX and More EVALS</a> (ETP Volatility Analysis Long-Short) model portfolio service is certainly worth investigating.  Feel free to contact me at bill.luby[at]gmail.com for more information about the newsletter or EVALS.]</i></p> <p>Related posts:</p> <ul> <li><a href="http://vixandmoresubscriber.blogspot.com/2013/01/q4-2012-newsletter-update-with-stock-of.html">Q4 2012 Newsletter Update, with Stock of the Week +109% for 2012 and +4535% Since Inception</a></li> <li><a href="http://vixandmoresubscriber.blogspot.com/2012/10/q3-2012-newsletter-update-with-stock-of.html">Q3 2012 Newsletter Update, with Stock of the Week +107% YTD and +4473 Since Inception</a></li> <li><a href="http://vixandmoresubscriber.blogspot.com/2011/12/changes-to-newsletter-place-more.html">Changes to Newsletter Place More Emphasis on VIX Exchange-Traded Products</a></li> <li><a href="http://vixandmoresubscriber.blogspot.com/2012/03/highlighting-newsletter-content-focus.html">Highlighting Newsletter Content Focus with Content Pyramid</a></li> <li><a href="http://vixandmoresubscriber.blogspot.com/2011/04/newsletter-and-portfolio-performance.html">Newsletter and Portfolio Performance Update Through 12/31/10</a> (includes a discussion of the Stock of the Week)</li> </ul> <p><b><i>Disclosure(s):</i></b> <i>none</i></p> Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com3tag:blogger.com,1999:blog-7101818316470014036.post-57347371348437640702013-01-15T15:37:00.001-08:002013-08-05T12:21:23.273-07:00Q4 2012 Newsletter Update, with Stock of the Week +109% for 2012 and +4535% Since Inception<p>I offered a fairly thorough update of the <i>VIX and More</i> Newsletter about three months ago in my <a href="http://vixandmoresubscriber.blogspot.com/2012/10/q3-2012-newsletter-update-with-stock-of.html">Q3 2012 Newsletter Update</a>, which discussed some of the changes in content and in format that occurred during 2012. In that post, I spent a fair amount of time addressing the refocusing of emphasis on the analysis and trading the VIX ETPs.  Since the primary interest of many newsletter subscribers is trading products like VXX, XIV, UVXY, TVIX, etc., I thought I should talk a little more about four proprietary indices that I chart and discuss each week and that are essential to many of my VIX ETP trading strategies:</p> <ul> <li>Roll Yield Index</li> <li>Contango Index</li> <li>Mean Reversion Index</li> <li>+XIV Index</li> </ul> <p>These first three of these indices evaluate the shape of the overall VIX futures term structure and the roll yield at the front end of the curve, then compare these to a VIX prediction model I developed which attempts to anticipate the probability of an upward or downward move in the VIX over the course of the next week, weighted by the potential magnitude of that move. The final index uses the data from the first three indices to evaluate the advisability of being long either XIV or VXX based on the VIX futures term structure and the VIX prediction model for the coming week. The process may seem somewhat complex, but the results have been excellent and after they become familiar with the approach, many subscribers tell me that this Trading Volatility section quickly becomes their favorite part of the newsletter.</p> <p> <br />Another perennial newsletter favorite  is the Stock of the Week ‘Sequential Portfolio’ (SOTW) that I update each week. In the <a href="http://vixandmoresubscriber.blogspot.com/2012/10/q3-2012-newsletter-update-with-stock-of.html">Q3 2012 Newsletter Update</a>, I offered more details about the stock selection process than I ever have before and I encourage readers who are interested in the mechanics of my SOTW stock selection approach to click on the link above and review what I had to say. Now that 2012 is officially in the books, I can report that the SOTW gained 109.87% in 2012 and ended the year with a cumulative return from the March 30, 2008 inception of +4335%, handily topping the 18.4% return by the S&P 500 index during the same period. <br /></p> <p><a href="http://vixandmoresubscriber.blogspot.com/2012/10/q3-2012-newsletter-update-with-stock-of.html"><img style="float: none; margin-left: auto; display: block; margin-right: auto" src="http://i104.photobucket.com/albums/m163/bl82/SOTWthroughEOY2012_zps763e6b32.png" /></a> <br />One quirky ‘feature’ of the SOTW performance accounting is that in order to make my record-keeping easier, I have historically used the closing price of the evening the newsletter is published as my cost basis for the SOTW. While this means subscribers who wished to buy at the open on the following morning would rarely have the same cost basis, I have maintained that over the long run, as long as I steer clear of stocks with after-hours news (which I do), any performance differential between using the Wednesday closing price or the Thursday opening price (or Thursday’s VWAP or Thursday’s close or whatever) should not be meaningful. In order to test that theory with 2012 data, I recalculated the SOTW performance for 2012 using the next day’s opening price and determined that the SOTW would have returned 106.19% with that calculation methodology. On 28 of the 52 weeks, the SOTW opened higher on the day following the newsletter than it closed on the day the newsletter was published. Given that the S&P 500 index was up 16% for the year, a slight upside bias is not surprising. The largest close to open price variances were found in CSTR, which appreciated 2.6% by the time it opened the next day, while MVG was down 2.0% when it first traded following the publication of the newsletter.</p> <p> <br />Also, please note that I am using more and more large capitalization and mega-cap stocks in the SOTW. In the fourth quarter, some of the selections were JPM, F, YHOO, IBN, etc. Some of the third quarter SOTW selections were MRK, AMGN, GILD, BBT, VLO, RF, HFC, TSO, etc. <br />Going forward, analyzing volatility as well as trading VIX ETPs and other volatility-centric products will continue to be the main focus of the newsletter. That being said, I will also discuss trading opportunities across all types of asset classes, weigh in on geopolitical and macroeconomic issues and provide a broad-based framework for structuring a portfolio to take advantage of the opportunities these present.</p> <p> <br />For those seeking additional information on the newsletter, I am still offering a 14-day free trial (see top of right column) to the subscriber newsletter for all new subscribers. Additionally, for those who may be interested exclusively in trading VIX ETPs, my <a href="http://vixandmoreevals.blogspot.com/">VIX and More EVALS</a> (ETP Volatility Analysis Long-Short) model portfolio service is certainly worth investigating. <br />Related posts: <br /></p> <ul> <li><a href="http://vixandmoresubscriber.blogspot.com/2012/10/q3-2012-newsletter-update-with-stock-of.html">Q3 2012 Newsletter Update, with Stock of the Week +107% YTD and +4473 Since Inception</a></li> <li><a href="http://vixandmoresubscriber.blogspot.com/2011/12/changes-to-newsletter-place-more.html">Changes to Newsletter Place More Emphasis on VIX Exchange-Traded Products</a></li> <li><a href="http://vixandmoresubscriber.blogspot.com/2012/03/highlighting-newsletter-content-focus.html">Highlighting Newsletter Content Focus with Content Pyramid</a></li> <li><a href="http://vixandmoresubscriber.blogspot.com/2011/04/newsletter-and-portfolio-performance.html">Newsletter and Portfolio Performance Update Through 12/31/10</a> (includes a discussion of the Stock of the Week)</li> </ul> <b><i>Disclosure(s):</i></b>  <em>long XIV, short VXX and UVXY at time of writing</em> Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com1tag:blogger.com,1999:blog-7101818316470014036.post-14270911710931301902012-10-14T12:49:00.001-07:002012-10-14T16:40:30.658-07:00Q3 2012 Newsletter Update, with Stock of the Week +107% YTD and +4473% Since Inception<p>Now that the <i>VIX and More</i> Newsletter has been around for 4 ½ years, I feel less of a need to provide updates on the content, particularly given that I offer a 14-day free trial. Even with the free trial, I get so many questions about the newsletter that it helps to periodically address some of those questions and update potential new subscribers about the manner in which the newsletter is evolving – or – which is the case at present, where the format and content have become somewhat standardized and predictable from week to week.</p> <p>In looking at the changes in the format and content during 2012, my overall impression is that I have done very little tinkering in recent months. Earlier in the year, when TVIX had issues with its creation units, I switched the +2x VIX ETP focus from TVIX to UVXY and placed some new emphasis on trading TVIX in the context of the TVIX to TVIX.IV (indicative value) ratio.</p> <p>This year I have also placed more emphasis on approaches to trading VIX options, both long and short, based on reader requests. As many subscribers are not active options traders, I have attempted to segregate the options sections from the more active discussion on trading VIX exchange-traded products. If there has been one area in which the newsletter has dramatically increased its focus over the course of the past year or two, it has been in discussing strategies and trading approaches for the various VIX ETPs.</p> <p>At one point I had three model portfolios and a Stock of the Week ‘Sequential Portfolio’ (SOTW) that I updated each week. Last year I dropped the model portfolios, as they were largely tangential to the primary thrust of the newsletter, but so many readers insisted that the SOTW be retained that I have kept this feature around as kind of a chef’s special dessert. Since I haven’t shared the performance data of the SOTW since early 2011, I thought some might be interested in the numbers. As the table below shows, the Stock of the Week was up 97% in 2008 (based on a March 30, 2008 inception), then surged 265% in 2009, followed that with gains of 179% in 2010, fell off to a gain of 9% in 2011%, and rallied with gains of 107% through the first three quarters of 2012. Through the magic of compounding, this works out to cumulative gains of 4473% since inception, meaning that a $100,000 investment in the Stock of the Week model portfolio strategy in March 2008 would have translated into $4.47 million as of September 30<sup>th</sup>. For the record, the benchmark S&P 500 index returned 16.9% during the same period. <i>[For a more detailed discussion about the Stock of the Week, start with <a href="http://vixandmoresubscriber.blogspot.com/2011/04/newsletter-and-portfolio-performance.html">Newsletter and Portfolio Performance Update Through 12/31/10</a> and follow the links in that post.]</i></p> <p><img style="display: block; float: none; margin-left: auto; margin-right: auto" src="http://i104.photobucket.com/albums/m163/bl82/SOTWthru09302012.png" /></p> <p>How do I select the Stock of the Week each week? Well, the methodology has changed over the years. At the beginning my intent was merely to highlight a relatively unknown stock that I thought had a much better than average chance to be a strong short-term and long-term performer. For this reason, I began largely with small caps and never intended on repeating the mention of any stock. Now that I have 237 SOTW selections behind me and a number of larger investors who are interested in more liquid large cap names, I have tweaked the methodology to favor larger issues and to focus more on technical than fundamental criteria. While I still want to emphasize long-term potential, over the course of the past 2-3 years the short-term upside potential has become much more important, as the SOTW performance legacy now has me aiming for a very high bar (something like +100% per year) in order to keep pace with the numbers established in previous years. Since the inception I have run four different stock screens each week and combined the results with my sector analysis and overall market analysis to generate a half dozen or so finalists. From the group of finalists, I scrutinize fundamental and technical data in detail in order to come up with the ultimate selection. For the third quarter of 2012, the selections were dominated by biotechnology/pharmaceuticals (AMGN, PDLI, GILD and MRK), oil and gas refiners (HFC, VLO, TSO and ALJ) and regional banks (BBT, RF).</p> <p>Going forward, I anticipate that analyzing volatility and trading VIX ETPs and other volatility-centric products will continue to be the main focus of the newsletter, but I will also continue to discuss trading opportunities across all types of asset classes, weigh in on geopolitical and macroeconomic issues, and provide a broad-based framework for structuring a portfolio to take advantage of the opportunities in a world of growing complexity and an investment universe whose opportunities grow in proportion to that complexity.</p> <p>For those seeking additional information on the newsletter, I am offering a 14-day free trial (see top of right column) to the subscriber newsletter for all new subscribers. Additionally, for those who may be exclusively interested in trading VIX ETPs, my <a href="http://vixandmoreevals.blogspot.com/">VIX and More EVALS</a> (ETP Volatility Analysis Long-Short) model portfolio service is certainly worth investigating.</p> <p>Related posts:</p> <ul> <li><a href="http://vixandmoresubscriber.blogspot.com/2011/12/changes-to-newsletter-place-more.html">Changes to Newsletter Place More Emphasis on VIX Exchange-Traded Products</a> </li> <li><a href="http://vixandmoresubscriber.blogspot.com/2012/03/highlighting-newsletter-content-focus.html">Highlighting Newsletter Content Focus with Content Pyramid</a> </li> <li><a href="http://vixandmoresubscriber.blogspot.com/2011/04/newsletter-and-portfolio-performance.html">Newsletter and Portfolio Performance Update Through 12/31/10</a> (includes a discussion of the Stock of the Week) </li> </ul> <p><b><i>Disclosure(s):</i></b> <i>long GILD and PDLI,</i> <i>neutral position in UVXY via options at time of writing</i></p> Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-44582601533728612902012-03-16T23:24:00.001-07:002012-03-16T23:24:07.905-07:00VIX and More Subscriber Newsletter Prices to Increase as of March 31, 2012<p>Effective March 31, 2012, as the <i>VIX and More</i> subscriber newsletter begins its fifth year, there will be an increase in price from $30/month to $40/month and from $300/year to $400/year.</p> <p>This is the first time I have raised the price since the launch of the newsletter. Part of the reason for the price increase is that since last July I have been sharing more specific and actionable trading ideas. The newsletter has been significantly underpriced since it was launched – and the upcoming price change is a small acknowledgement of that fact. The good news is that any existing subscriber – monthly or annual – can lock in the current $300/year price by extending their subscription term for an additional year at any time through the end of March.</p> <p>I have received some questions about how to switch from a monthly to an annual subscription, so for those who may be interested, the easiest way to convert from a monthly to an annual subscription is to:</p> <blockquote> <p>1)  <b><i>Cancel existing monthly subscription</i></b> by clicking on the “Cancel a Subscription – Unsubscribe” button that is just below the CBOE ad and just above the blog archive section on the right column. (I will manually add whatever time remains on your monthly subscription to your new annual subscription.)</p> <p>2) <b><i>Begin a new annual</i> <i>subscription</i></b> by clicking on the Annual Subscription button on the upper section of the same right column  </p> </blockquote> <p>For those who have an existing annual subscription and wish to extend their term for another year at the current $300/year rate, just follow the instructions for beginning a new annual subscription above.</p> <p>If you have a problem with canceling your monthly subscription, just let me know and I will do it for you. PayPal will not allow me to add a new subscription for anyone or modify the terms of an existing subscription agreement.</p> <p>Last but not least, for those who are not yet subscribers and might be interested in locking in the current rates for a full year, this would be a good time to take advantage of the 14-day free trial (see top of right column) and switch to an annual subscription by the end of the month.</p> Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-49724963299300284402012-03-16T16:08:00.001-07:002012-03-16T16:35:49.115-07:00Highlighting Newsletter Content Focus with Content Pyramid<p>I periodically receive questions about what is included in the subscriber newsletter that is not available on the blog or in <a href="http://vixandmoreevals.blogspot.com/">EVALS</a> (<b>E</b>TP <b>V</b>olatility <b>A</b>nalysis <b>L</b>ong/<b>S</b>hort, which is essentially a model portfolio.)</p> <p>In prior posts in this space I have addressed the evolution of the content in the newsletter and described the rationale behind the changes I have made, most of which were prompted by requests from readers. The most recent changes, which I detailed in December in <a href="http://vixandmoresubscriber.blogspot.com/2011/12/changes-to-newsletter-place-more.html">Changes to Newsletter Place More Emphasis on VIX Exchange-Traded Products</a>, involve a shift in emphasis in the direction of the increasingly popular VIX-based exchange-traded products such as VXX, VXZ, XIV, TVIX and the like.</p> <p>As a visual learner, I have always believed that a picture is worth at least 1000 words, so to help to differentiate between what is in the blog, the newsletter and in EVALS, I have reproduced below the content pyramid that original appeared in <a href="http://vixandmore.blogspot.com/2012/01/five-years-of-vix-and-more.html">Five Years of VIX and More</a> on the main blog.  Note that in addition to <em><a href="http://vixandmore.blogspot.com/">VIX and More blog</a></em>, the newsletter and EVALS, I also publish extended research and analysis pieces at <em><a href="http://www.expiringmonthly.com/">Expiring Monthly:  The Option Traders Journal</a></em>, the details of which I recently shared in <a href="http://vixandmore.blogspot.com/2012/03/recent-research-projects-and-expiring.html">Recent Research Projects and Expiring Monthly</a>.</p> <p>The good news is that for anyone who is unclear about what is in the newsletter and whether it will be of value to their trading, I offer a 14-day free trial (see top of right column) to the subscriber newsletter for all new subscribers.</p> <p><b><i><img style="display: block; float: none; margin-left: auto; margin-right: auto" src="http://i104.photobucket.com/albums/m163/bl82/VAMcontentpyramid011412.png" /></i></b></p> <p><b><i>Disclosure(s): </i></b><i>long XIV; short VXX and TVIX at time of writing</i></p> Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-5996114557050816852011-12-04T16:34:00.001-08:002011-12-04T16:39:02.766-08:00Changes to Newsletter Place More Emphasis on VIX Exchange-Traded Products<p>Approximately five months ago I conducted a survey of newsletter subscribers and based on that feedback, implemented a number of changes. Specifically, since July I have been placing a much greater emphasis on VIX ETPs and volatility in general in the newsletter. I have also moved the publication date to Wednesdays from Sundays.</p> <p>To set the context and provide some explanation for those changes, let me offer a brief bit of history.</p> <p><b><i>Background <br /></i></b>When I launched the newsletter, in March 2008, it was based on feedback from some readers who were interested in more details about my proprietary research and analysis on volatility and market sentiment. At the same time, another group of readers were more interested in hearing my general market commentary on a regular basis, as well as how I translated my views on the financial markets into specific trading opportunities. Initially I published two newsletters (research and analysis on Wednesdays and general market commentary and specific stock trading ideas on Sunday) and offered both newsletters bundled together as one subscription. While there was a peaceful coexistence of sorts, I felt a little as if I were making gelato on Wednesdays and cannoli on Sundays and while I liked idea of being an ice cream maker and a pastry chef at the same time, things occasionally got a little schizophrenic. As a result, I <a href="http://vixandmoresubscriber.blogspot.com/2009/01/subscriber-newsletter-features-and.html">merged the two newsletters</a> into one newsletter at the end of 2008.</p> <p><b><i>Content Drift Due to New VIX Exchange-Traded Products <br /></i></b>With the launch of the first VIX-based exchange-traded products in January 2009, I made a conscious decision to feature the new VIX products prominently. Initially the likes of VXX and VXZ had a mixed reception, but later these found a broad audience and spawned what is now a whole new asset class consisting of <a href="http://vixandmore.blogspot.com/2011/11/ten-months-have-passed-since-last-time.html">31 volatility ETPs</a> traded in the U.S. As the months have passed and trading volume in the VIX ETPs has risen, the newsletter focus has evolved from approximately 5% of the content related to VIX ETPs to close to 50%.</p> <p><b><i>Reader Survey Results <br /></i></b>A large part of the reason for an increased emphasis on VIX ETPs is due to reader feedback. At the beginning of the summer, I elected to survey subscribers to determine what their primary reasons were for subscribing to the newsletter, what content they enjoyed most and what changes they would like to see. The responses clustered around three main points. First and foremost, readers wanted more analysis of VIX ETPs, including trading ideas. Second, readers were interested in my analysis of volatility and more broadly in how that translated into trading opportunities. Third, quite a few readers expressed a desire to return to the Wednesday or “mid-week” publication schedule.</p> <p><b><i>Changes to the Newsletter Implemented in July <br /></i></b>As a result of the reader feedback, I made a number of changes in July. First, I changed the publication from Sundays to Wednesdays. Second, I added two new sections to the newsletter:</p> <p>1) <i>VIX Futures Term Structure</i> – Includes a term structure graph for the current week and previous week, as well as some commentary about any unusual aspects of the term structure or recent changes in the term structure.</p> <p>2) <i>Trading Volatility</i> – In this section I translate the VIX futures term structure into the relative attractiveness of various positions due to roll yield and the overall shape of the term structure. I also incorporate some analysis of VIX mean reversion and ultimate single out which VIX ETPs I believe are attractive longs and shorts in the current market environment, often incorporating ideas on how these might be traded with options and futures.</p> <p>I also enhanced third volatility section, formerly known as <i>Volatility Corner</i> and now known as <i>Volatility Overview</i>. This section includes a table of 17 different volatility measures; my discussion and analysis of these volatility measures provides a lead in to the discussion of the VIX futures term structure and various VIX trading opportunities.</p> <p>As the table below shows, the only section I dropped from the newsletter was the <i>VIX and More Focus Model Portfolios</i>. I also used this opportunity to fold <i>The Week in Review</i> and <i>The Week Ahead</i> into one larger <i>Market Commentary</i> section. <br /></p> <div align="center"> <table style="border-bottom: medium none; border-left: medium none; border-collapse: collapse; border-top: medium none; border-right: medium none; mso-border-alt: solid windowtext .5pt; mso-yfti-tbllook: 1184; mso-padding-alt: 0in 5.4pt 0in 5.4pt" class="MsoTableGrid" border="1" cellspacing="0" cellpadding="0" align="center"><tbody> <tr style="mso-yfti-irow: 0; mso-yfti-firstrow: yes"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: #ddd9c3; border-top: windowtext 1pt solid; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background2; mso-background-themeshade: 230" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal" align="center"><b style="mso-bidi-font-weight: normal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Old VIX and More Newsletter</font></font></span></b></p> </td> <td style="border-bottom: windowtext 1pt solid; border-left: medium none; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: #ddd9c3; border-top: windowtext 1pt solid; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background2; mso-background-themeshade: 230; mso-border-left-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal" align="center"><b style="mso-bidi-font-weight: normal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">VIX and More Newsletter Since July</font></font></span></b></p> </td> </tr> <tr style="mso-yfti-irow: 1"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">The Week in Review:<span style="mso-spacerun: yes">  </span>What Moved the Markets</font></font></span></p> </td> <td style="border-bottom: windowtext 1pt solid; border-left: medium none; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-left-alt: solid windowtext .5pt; mso-border-top-alt: solid windowtext .5pt" rowspan="3" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Market Commentary (includes a look back and a look ahead)</font></font></span></p> </td> </tr> <tr style="mso-yfti-irow: 2"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Market Commentary</font></font></span></p> </td> </tr> <tr style="mso-yfti-irow: 3"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">The Week Ahead:<span style="mso-spacerun: yes">  </span>What to Look For</font></font></span></p> </td> </tr> <tr style="mso-yfti-irow: 4"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Aggregate Market Sentiment Indicator (AMSI)</font></font></span></p> </td> <td style="border-bottom: windowtext 1pt solid; border-left: medium none; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-left-alt: solid windowtext .5pt; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Aggregate Market Sentiment Indicator (AMSI)</font></font></span></p> </td> </tr> <tr style="mso-yfti-irow: 5"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Volatility Corner</font></font></span></p> </td> <td style="border-bottom: windowtext 1pt solid; border-left: medium none; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-left-alt: solid windowtext .5pt; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Volatility Overview</font></font></span></p> </td> </tr> <tr style="mso-yfti-irow: 6"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717"> </font></font></span></p> </td> <td style="border-bottom: windowtext 1pt solid; border-left: medium none; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-left-alt: solid windowtext .5pt; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><b style="mso-bidi-font-weight: normal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">VIX Futures Term Structure </font></font></span></b></p> </td> </tr> <tr style="mso-yfti-irow: 7"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717"> </font></font></span></p> </td> <td style="border-bottom: windowtext 1pt solid; border-left: medium none; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-left-alt: solid windowtext .5pt; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><b style="mso-bidi-font-weight: normal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Trading Volatility</font></font></span></b></p> </td> </tr> <tr style="mso-yfti-irow: 8"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Asset Class Outlook</font></font></span></p> </td> <td style="border-bottom: windowtext 1pt solid; border-left: medium none; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-left-alt: solid windowtext .5pt; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Asset Class Outlook</font></font></span></p> </td> </tr> <tr style="mso-yfti-irow: 9"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Current Investment Thesis</font></font></span></p> </td> <td style="border-bottom: windowtext 1pt solid; border-left: medium none; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-left-alt: solid windowtext .5pt; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">Current Investment Thesis</font></font></span></p> </td> </tr> <tr style="mso-yfti-irow: 10"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><i style="mso-bidi-font-style: normal"><strike><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">VIX and More Focus Model Portfolios</font></font></span></strike></i></p> </td> <td style="border-bottom: windowtext 1pt solid; border-left: medium none; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-left-alt: solid windowtext .5pt; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717"> </font></font></span></p> </td> </tr> <tr style="mso-yfti-irow: 11; mso-yfti-lastrow: yes"> <td style="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">The Stock of the Week</font></font></span></p> </td> <td style="border-bottom: windowtext 1pt solid; border-left: medium none; padding-bottom: 0in; padding-left: 5.4pt; padding-right: 5.4pt; background: white; border-top: medium none; border-right: windowtext 1pt solid; padding-top: 0in; mso-border-alt: solid windowtext .5pt; mso-background-themecolor: background1; mso-border-left-alt: solid windowtext .5pt; mso-border-top-alt: solid windowtext .5pt" valign="top" width="295"> <p style="line-height: normal; margin: 0in 0in 0pt" class="MsoNormal"><span style="mso-bidi-font-size: 12.0pt"><font face="Times New Roman"><font style="font-size: 11pt" color="#171717">The Stock of the Week</font></font></span></p> </td> </tr> </tbody></table> </div> <p> <br /><strong><em>EVALS Relaunched, Now Focusing on VIX ETPs <br /></em></strong>The final change that came from the reader survey was a <a href="http://vixandmoreevals.blogspot.com/2011/12/evals-relaunches-now-focusing-on-vix.html">relaunch</a> of <a href="http://vixandmoreevals.blogspot.com/">EVALS</a> (ETP Volatility Analysis Long/Short) two weeks ago. Whereas the prior incarnations of the newsletter and EVALS were completely independent of each other, now EVALS, which is a model portfolio consisting almost entirely of VIX ETPs, is a tightly linked complement to the newsletter and specifically extends the analysis of <em>Volatility Overview</em>, <em>VIX Futures Term Structure</em> and <em>Trading Volatility</em> to an actively-traded model portfolio. <br /></p> <p><b><i>Conclusion <br /></i></b>For those who find my summary of the changes less than crystal clear, the good news is that I continue to offer a 14-day free trial (see top of right column) to the subscriber newsletter for all new subscribers.</p> <p align="center"><b><i>Disclosure(s):</i></b> <i>long XIV and</i> <i>short VXX at time of writing</i></p> Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-82076404678258473582011-03-30T23:50:00.000-07:002011-04-04T09:32:42.355-07:00Newsletter and Portfolio Performance Update Through 12/31/10Today marks the third anniversary of the <i>VIX and More</i> Newsletter. To be honest, I had no idea what I would be getting in to when I started this venture. The primary impetus for the newsletter came from blog reader who were interested in my thoughts on a broad range of subjects, from the various geopolitical and macroeconomic influences on volatility to a more comprehensive look at market sentiment, to my assessment of some asset classes that I rarely mentioned on the blog, such as commodities (now more prominently featured), bonds and currencies.<br />
<br />
Each Sunday I sit down to reflect on the events of the past week and plan out my trading for the coming week. I write the newsletter partly for myself, in order to organize my thinking, and partly for the benefit of readers whose questions and comments have given me a sense of which areas I should emphasize and drill down on.<br />
<br />
From the outset I have considered the core of the newsletter to be a discussion of the main influences on the market during the past week, an evaluation of the most important economic data and earnings report scheduled for the coming week and a discussion of my current investment thesis and trading ideas across a broad range of asset classes, sectors, geographies, etc.<br />
<br />
As time went on, reader feedback has caused me to place increased emphasis on volatility, including the VIX, various other volatility indices, VIX futures, VIX options and the growing number of VIX ETFs and VIX ETNs. As a result of this feedback, it has been the <i>Volatility Corner</i> section of the newsletter that has seen the most growth in terms of dedicated space and analysis. This trend continued during the fourth quarter, when as a result of the proliferation of volatility-based ETNs and ETFs I expanded the Volatility Update table to include data and analysis of three new VIX ETNs:<br />
<ul><li>TVIX -- VelocityShares Daily 2X VIX Short-Term ETN</li>
<li>XIV -- VelocityShares Daily Inverse VIX Short-Term ETN</li>
<li>XVIX -- UBS E-TRACS Daily Long-Short VIX ETN</li>
</ul>I am proud of all the positive feedback I have received along the way and consider the unusually high renewal rate to be a sign that readers are getting a good deal of value out of what I write. Thanks to those who have been subscribers from the very beginning and those who have offered their support and encouragement along the way.<br />
<br />
Of course, each quarter I publish performance data for three model portfolios and a Stock of the Week ‘Sequential Portfolio’ (SOTW). During the fourth quarter the model portfolios performed extremely well, racking up substantial gains. Three of the four portfolios topped their benchmarks during the quarter, some of them by huge margins. The sole exception was Focus Foreign Growth, which still managed to top its benchmark (the EAFE index ETF, EFA) by more than 16% for the year.<br />
The one disappointment for 2010 was the Focus Growth 2. As detailed in the post below, I decided to revamp both the stock selection rules as well as the position management algorithms for Growth 2 and implemented those changes on August 30. Since that change, Growth 2 is up 30.8% and is making up ground on the benchmark S&P 500 index.<br />
<br />
This brings me to the Stock of the Week ‘Sequential Portfolio’ (SOTW), which has become a rock star of sorts. After returning 97% in 2008 (from the March 30<sup>th</sup> launch until the end of the year, the SOTW gained 265% in 2009 and followed that up with a gain of 179% in 2010. As I am sure the publication of the numbers for the full year will once again bring in a rash of emails, let me offer up some pre-emptive commentary.<br />
<br />
First, I recommend that anyone who is interested in exploring the SOTW in some detail examine the work of Michael Stokes of MarketSci, who had a three-part series in April 2010 in which he reviewed the SOTW, first as a single stock portfolio, then using a short SPY position to hedge market risk and finally examining a theoretical 10-week holding period. The quick summary of MarketSci’s findings is that the performance of the SOTW was very strong both unhedged and hedged, but there is not convincing evidence of persistent outperformance past the initial post-selection week.<br />
<br />
The full set of MarketSci reviews can be found at:<br />
<ul><li><a href="http://marketsci.wordpress.com/2010/04/14/review-of-the-vix-more-stock-of-the-week/">Review of the VIX & More Stock of the Week</a></li>
<li><a href="http://marketsci.wordpress.com/2010/04/17/hedging-the-vix-more-stock-of-the-week/">Hedging the VIX & More Stock of the Week</a> – uses a short SPY position to hedge market risk, with impressive results </li>
<li><a href="http://marketsci.wordpress.com/2010/04/18/holding-vms-stock-of-the-week-for-longer-than-a-week/">Holding V&M’s Stock of the Week for Longer than a Week</a> – looks at a 10-week holding period and does not find persistent outperformance past the initial post-selection week </li>
</ul>For the record, MarketSci’s analysis assumes that an investor would buy the SOTW at beginning of the first session of the following week and close out the position at the end of the final trading day of that week. As I stated in a <i>VIX and More</i> post <a href="http://vixandmore.blogspot.com/2010/04/marketsci-on-stock-of-week-sequential.html">MarketSci on the Stock of the Week ‘Sequential Portfolio’</a>:<br />
<blockquote><i>“This is different from the Friday close to Friday close data I have always reported in my subscriber newsletter, because I always wanted to report a cost basis in the newsletter on Sunday and assumed that if I avoided stocks which had news over the weekend, the difference between using a Friday close vs. a Monday open as a cost basis would not be meaningful in the long run.”</i></blockquote>Many readers have asked me to provide an analysis of how the SOTW would have performed in 2010 had someone used the SOTW selections to purchase the SOTW at its opening price on the following Monday and sell it at its closing price at the end of the week. I hope to have this information and some additional related analysis published in short order.<br />
<br />
For those seeking additional information, I am offering a 14-day free trial (see top of right column) to the subscriber newsletter for all new subscribers.<br />
<br />
<div style="text-align: center;"><img src="http://i104.photobucket.com/albums/m163/bl82/Portfoliosperfthru123110.png" /></div><br />
<div style="text-align: center;"><b><i>Disclosure(s):</i></b> <i>long XIV and</i> <i>short VXX at time of writing</i></div>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com1tag:blogger.com,1999:blog-7101818316470014036.post-32759234841123395702010-10-26T23:50:00.000-07:002010-10-27T11:45:48.913-07:00Newsletter and Portfolio Performance Update Through 9/30/10During the third quarter of 2010 I made two important changes to the subscriber newsletter.<br />
<br />
The first change is relatively straightforward. Acting on quite a few requests for more analysis <a href="http://vixandmore.blogspot.com/search/label/VXX">VXX</a>, I added my proprietary <a href="http://vixandmore.blogspot.com/search/label/VIX%20Futures%20Contango%20Index">VIX Futures Contango Index</a> to the Volatility Update table I publish each week in the recurring Volatility Corner section of the newsletter. Each week I now review the <a href="http://vixandmore.blogspot.com/search/label/VIX%20futures">VIX futures</a>, the VIX Futures Contango index and the VXX <a href="http://vixandmore.blogspot.com/search/label/roll%20yield">roll yield</a> in the context of their impact on VXX and other volatility products.<br />
<br />
The more substantial change involves changes to the Focus Growth 2 model portfolio. After two years of disappointing performance, I decided to revamp both the stock selection rules as well as the position management algorithms. The changes result in a model portfolio that places increased emphasis on greater long-term growth potential and recent earnings growth, as well as an attractive valuation and volatility profile. The net result is a model portfolio that more closely resembles another portfolio I have been managing in real time for five years that has an average annual return of 39%. It is my intent not to jettison this underperforming model portfolio, but rather to accept the challenge to work to make it a benchmark-beating performer, just as the other two model portfolios have been.<br />
<br />
This brings me to the performance data below. All three of the model portfolios topped their benchmarks during the quarter, with the changes to Growth 2 responsible for about a 3% advantage over the benchmark S&P 500 index during the last month of the quarter.<br />
<br />
Every time I post this data, invariably the big story becomes the Stock of the Week ‘Sequential Portfolio’ (SOTW) and its 91% gain for the first three quarters of 2010 and 1281% gain since its March 30, 2008 inception. I should probably reiterate what I said last quarter, notably that Michael Stokes of MarketSci had a three-part series in which he reviewed the SOTW, first as a single stock portfolio, then using a short SPY position to hedge market risk and finally examining a theoretical 10-week holding period. The quick summary of MarketSci’s findings is that the performance of the SOTW is very strong both unhedged and hedged, but there is not convincing evidence of persistent outperformance past the initial post-selection week.<br />
<br />
The full set of MarketSci reviews can be found at:<br />
<ul><li><a href="http://marketsci.wordpress.com/2010/04/14/review-of-the-vix-more-stock-of-the-week/">Review of the VIX & More Stock of the Week</a></li>
<li><a href="http://marketsci.wordpress.com/2010/04/17/hedging-the-vix-more-stock-of-the-week/">Hedging the VIX & More Stock of the Week</a> – uses a short SPY position to hedge market risk, with impressive results </li>
<li><a href="http://marketsci.wordpress.com/2010/04/18/holding-vms-stock-of-the-week-for-longer-than-a-week/">Holding V&M’s Stock of the Week for Longer than a Week</a> – looks at a 10-week holding period and does not find persistent outperformance past the initial post-selection week </li>
</ul>For the record, MarketSci’s analysis assumes that an investor would buy the SOTW at beginning of the first session of the following week and close out the position at the end of the final trading day of that week. As I stated in <a href="http://vixandmore.blogspot.com/2010/04/marketsci-on-stock-of-week-sequential.html">MarketSci on the Stock of the Week ‘Sequential Portfolio’</a>:<br />
<blockquote><i>“This is different from the Friday close to Friday close data I have always reported in my subscriber newsletter, because I always wanted to report a cost basis in the newsletter on Sunday and assumed that if I avoided stocks which had news over the weekend, the difference between using a Friday close vs. a Monday open as a cost basis would not be meaningful in the long run.”</i></blockquote>For those seeking additional information, I am offering a 14-day free trial (see top of right column) to the subscriber newsletter for all new subscribers.<br />
<br />
<div style="text-align: center;"><img src="http://i104.photobucket.com/albums/m163/bl82/Ports093010.png" /></div><br />
<div style="text-align: center;"><b><i>Disclosure(s):</i></b> <i>short VXX at time of writing</i></div>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-67055548356808217732010-09-24T15:50:00.001-07:002010-10-26T22:42:25.594-07:00Newsletter and Portfolio Performance Update Through 6/30/10Largely as a result of overwhelmingly positive feedback, I made no significant changes to the subscriber newsletter during the second quarter of 2010. After two years of tinkering and considerable reader input, the sections, graphics and commentary seem to have found a flow and style that I enjoy and readers appear to be getting a great deal of value from the current structure and format as well.<br />
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One interesting development that occurred during the quarter was a review of the Stock of the Week ‘Sequential Portfolio’ (SOTW) by Michael Stokes of MarketSci. In a three-part series, MarketSci has a very positive review of the SOTW, first as a single stock portfolio, then using a short SPY position to hedge market risk and finally examining a theoretical 10-week holding period. The quick summary of MarketSci’s findings is that the performance of the SOTW is very strong both unhedged and hedged, but there is not convincing evidence of persistent outperformance past the initial post-selection week.<br />
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The full set of MarketSci reviews can be found at:<br />
<ul><li><a href="http://marketsci.wordpress.com/2010/04/14/review-of-the-vix-more-stock-of-the-week/">Review of the VIX & More Stock of the Week</a></li>
<li><a href="http://marketsci.wordpress.com/2010/04/17/hedging-the-vix-more-stock-of-the-week/">Hedging the VIX & More Stock of the Week</a> – uses a short SPY position to hedge market risk, with impressive results </li>
<li><a href="http://marketsci.wordpress.com/2010/04/18/holding-vms-stock-of-the-week-for-longer-than-a-week/">Holding V&M’s Stock of the Week for Longer than a Week</a> – looks at a 10-week holding period and does not find persistent outperformance past the initial post-selection week </li>
</ul>For the record, MarketSci’s analysis assumes that an investor would buy the SOTW at beginning of the first session of the following week and close out the position at the end of the final trading day of that week. As I stated in <a href="http://vixandmore.blogspot.com/2010/04/marketsci-on-stock-of-week-sequential.html">MarketSci on the Stock of the Week ‘Sequential Portfolio’</a>:<br />
<blockquote><i>“This is different from the Friday close to Friday close data I have always reported in my subscriber newsletter, because I always wanted to report a cost basis in the newsletter on Sunday and assumed that if I avoided stocks which had news over the weekend, the difference between using a Friday close vs. a Monday open as a cost basis would not be meaningful in the long run.”</i></blockquote><i> </i><br />
Regarding the performance of the SOTW and the model portfolios during the second quarter, it was a mixed bag. The S&P 500 index fell 11.9% from 1169 to 1030 during the quarter, with both the Aggressive Trader Model Portfolio and Growth 2 Model Portfolio underperforming the benchmark, while the Foreign Growth Model Portfolio and the Stock of the Week both outperformed the benchmarks. In fact the SOTW increased its margin on the S&P 500 index from 40% to 69% during the period, riding weekly gains of more than 10% from <a href="http://finance.yahoo.com/q?s=XRTX">XRTX</a>, <a href="http://finance.yahoo.com/q?s=VPHM">VPHM</a> and <a href="http://finance.yahoo.com/q?s=PQ">PQ</a>.<br />
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Last but not least, my apologies for the delay in getting this update posted in a timely basis. Not that much changed in the newsletter during the second quarter, but as there have been a number of important changes in the third quarter, I will do my best to provide another update discussing those changes in two weeks or so.<br />
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For those seeking additional information, I am offering a 14-day free trial (see top of right column) to the subscriber newsletter for all new subscribers.<br />
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<div align="center"><div style="text-align: center;"><img src="http://i104.photobucket.com/albums/m163/bl82/Ports063010.png" /></div><b><i><br />
Disclosure(s):</i></b> <i>long VPHM at time of writing</i></div>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-69451303270133159222010-04-14T22:34:00.001-07:002010-07-16T08:29:10.719-07:00Newsletter and Portfolio Performance Update for 3/31/10<p>The newsletter continued to fire on all cylinders for the first quarter of 2010 and it was great to get so much positive feedback.</p> <p>Most of the recent enhancements were relatively minor. I added a color coded <i>Economic Data Highlights</i> table to summarize the actual and estimated numbers for five different areas of economic activity, as those data points have been critical in painting a picture about the relative health of the economy as of late. I also added entries for the VIX front month and second month futures, as well as the VXX roll yield for the <i>Volatility Update</i> table. Finally, I made some minor enhancements to the proprietary <i>Aggregate Market Sentiment Indicator</i> (AMSI) to better tune some of the bullish and bearish signals to the current signal to noise ratio for volatility, put to call data, market breadth, volume, etc.</p> <p>The real star of the newsletter continues to be the Stock of the Week ‘Sequential Portfolio,’ which is one (relatively) unknown stock I highlight each week. In terms of performance, the Stock of the Week (SOTW) was a consistent performer in the first quarter, experiencing only three losing weeks and generating a cumulative return of 40.9% for the first quarter. The three biggest gainers were RELL, OFIX and BELM. In fact, BELM was selected one day before the company was bought out for a 29.2% premium over the previous close.</p> <p>The Aggressive Trader Model Portfolio also had a very strong first quarter. This portfolio, which draws from some of the same approach as is used by the SOTW, managed a 27.8% gain in the first quarter. Also beating its benchmark was the Foreign Growth Model Portfolio, which was up 2.1% during the quarter. The mystery sub-par performance continued for the Growth 2 Model Portfolio, which was down 10.8% in the first quarter and was the only portfolio to underperform its benchmark during during this period.</p> <p>The graphic below shows the performance of the three model portfolios since inception, with a separate breakout for 2008, 2009 and 2010 (first quarter only) results. Note that the benchmark data are slightly different due to the fact that one of the focus model portfolios (Growth 2) was launched later than the others and another focus model portfolio (Foreign Growth) uses the iShares MSCI EAFE (Europe, Australasia and the Far East) ETF, EFA, for a benchmark instead of the SPX benchmark data used by the other portfolios.</p> <p>For those who may be interested, I am offering a 14-day free trial (see top of right column) to the subscriber newsletter for all new subscribers.</p> <div style="text-align: center;"> </div><div style="text-align: center;"><div style="text-align: center;"><img src="http://i104.photobucket.com/albums/m163/bl82/Ports033110.gif" /><br /><br /><b><i>Disclosure(s):</i></b> none<br /></div><p></p></div>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-42295323785112604882010-01-03T14:56:00.001-08:002010-07-16T08:29:33.124-07:00Newsletter and Portfolio Performance Update for 12/31/09<p>In 2009, I continued to tweak and enhance the subscriber newsletter, but during the last quarter of the year there were no changes to the regular sections of the newsletter, as reader feedback persuaded me that a year of adding new features and graphics had finally resulted in a newsletter that was best left in its current incarnation.</p> <p>One of the unquestionable success stories of the newsletter has been the excellent performance of the three focus model portfolios and the Stock of the Week ‘Sequential Portfolio’ that consists of one relatively unknown stock which I highlight each week. In terms of performance, two of the three model portfolios (Aggressive Trader and Focus Foreign Growth) ended up with returns of more than 100% for the year. The Stock of the Week was the real star performer, however, racking up gains of 265% for the year, with 10 of the 52 weekly picks logging gains of at least 10% during their week in the sun. The top three weekly gainers were Kirkland’s (KIRK), RINO International (RINO) and last week’s selection, Great Plains Renewable Energy (GPRE).</p> <p>The graphic below shows the performance of the three model portfolios since inception, with a separate breakout for 2008 and 2009 results. Note that the benchmark data are slightly different due to the fact that one of the focus model portfolios (Growth 2) was launched later than the others and another focus model portfolio (Foreign Growth) uses the iShares MSCI EAFE (Europe, Australasia and the Far East) ETF, EFA, for a benchmark instead of the SPX benchmark data used by the other portfolios.</p> <p>For those who are interested, I am currently offering a 14-day free trial (see top of right column) to the subscriber newsletter for new subscribers.</p> <p align="center"><img src="http://i104.photobucket.com/albums/m163/bl82/Ports123109.gif" /> </p> <p align="center"><b><i>Disclosure:</i></b> none</p>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-33871633897884813212009-09-30T22:27:00.001-07:002010-07-16T08:30:16.159-07:00Newsletter and Portfolio Performance Update for 9/30/09<p>The last few months have seen a surge of interest in the Stock of the Week (SOTW) selection and has led to several posts on the subject, including a detailed September 7<sup>th</sup> piece with the title, <a href="http://vixandmoresubscriber.blogspot.com/2009/09/stock-of-week-sequential-portfolio-up.html">Stock of the Week ‘Sequential Portfolio’ Up 466% Since 3/30/08 Launch</a>.</p> <p>With the increased interest in the SOTW has come increased interest in the <i>VIX and More</i> portfolios in general and has led to my resuming coverage of the Aggressive Trader Portfolio in the newsletter. The Aggressive Trader was one of the original features of the newsletter, but in the early months I became concerned that the newsletter was tilting too much in the direction of model portfolios and stock selection, at the expense of original research on volatility, market sentiment and related subjects. Based on reader feedback over the past few months, I have made some refinements and now believe the newsletter strikes an appropriate balance between commentary, analysis and trading ideas. A large part of the reason that I added the Aggressive Trader back to the fold is that the portfolio has a great deal in common with the SOTW. As recently as two weeks ago, for instance, 79% of the Aggressive Trader holdings were represented by former SOTW selections.</p> <p>The graphic below shows the updated performance data for the <i>VIX and More</i> portfolios for 2008, 2009 and since inception, both in absolute terms and relative to their respective benchmarks. As noted previously, these are long-only portfolios of individual stocks that do not invest in ETFs or options and are rebalanced only on weekends. The Focus portfolios derive their name from the fact that each portfolio is limited to only five stocks. Both the Aggressive Trader and Stock of the Week portfolios were launched on March 30, 2008 and use the S&P 500 index as a benchmark. The Focus Growth 2 Model Portfolio was launched on August 31, 2008 and utilizes the S&P 500 index as a benchmark; the Focus Foreign Growth, was launched on March 30, 2008 and uses as a benchmark the EAFE (Europe, Australasia and the Far East) Index ETF (EFA).</p> <p>The unquestioned star performer has been the Stock of the Week ‘Sequential Portfolio,’ which racked up a 97.7% gain during the turbulent 2008 markets and has easily surpassed that mark with a 218.2% gain for the first nine months of 2009. Two other portfolios have had stellar years so far: the Focus Foreign Growth portfolio is up 103.2% year-to-date; and the Aggressive Trader portfolio is up 75.5% during the same period. The laggard among the group has been the Focus Growth 2 portfolio, which is the only portfolio not to have a cumulative gain since inception. Somewhat ironically and to my slight consternation, two sister portfolio to Focus Growth 2 have been up and running for about five years and sport cumulative returns of about 350% during this time.</p> <p>In terms of content, the newsletter has been relatively stable during the last three months, with no significant changes in terms of the standard sections. For more information on the standard sections and content, readers are advised to investigate:</p> <ul> <li><a href="http://vixandmoresubscriber.blogspot.com/2009/07/content-changes-and-portfolio.html">Content Changes and Portfolio Performance Update for 6/30/09</a></li> <li><a href="http://vixandmoresubscriber.blogspot.com/2009/01/subscriber-newsletter-features-and.html">Subscriber Newsletter and Portfolio Performance Through December 2008</a></li><li><a href="http://vixandmoresubscriber.blogspot.com/2009/09/stock-of-week-sequential-portfolio-up.html">Stock of the Week ‘Sequential Portfolio’ Up 466% Since 3/30/08 Launch</a></li> </ul> <p>As a reminder, I am currently offering a 14-day free trial to the subscriber newsletter for new subscribers.</p> <p><img style="display: block; float: none; margin-left: auto; margin-right: auto;" src="http://i104.photobucket.com/albums/m163/bl82/Ports093009.gif" /></p>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-999528013498125212009-09-07T11:17:00.001-07:002009-09-07T13:29:51.468-07:00Stock of the Week ‘Sequential Portfolio’ Up 466% Since 3/30/08 Launch<p>By far the subject which seems to generate the most emails is what I call the Stock of the Week ‘Sequential Portfolio,’ often known simply as the SOTW.</p> <p>I launched this feature on 3/30/08 with the first issue of the newsletter. My intent was to highlight one relatively unknown stock each week, which I believe is worth owning for both fundamental and technical reasons. While all positions are long-only and are limited to one week, the purpose of the SOTW is not to encourage readers to hop on a single stock and ride it for a week, but rather to generate a new idea each week that might be a candidate for further investigation and perhaps an extended holding period.</p> <p>Each week I combine my broad market outlook, sector analysis and favored stock selection criteria (sometimes overweighting technical factors and other times favoring fundamentals) to arrive at a handful of finalists for the SOTW. More often than not, the selection of the SOTW for a particular week is the result of analysis of the charts, recent news flow for the stock, and sometimes my perception of how likely I think a particular stock is to become a <a href="http://investopedia.com/terms/s/storystock.asp">story stock</a>.</p> <p>The self-imposed rules of the SOTW state that each week the entire portfolio is invested in a single stock that is purchased at the beginning of the week and sold at the end of the week, regardless of performance. To make for easier accounting, I elected to use Friday's closing price as the official cost basis in the newsletter and do not subsequently adjust that priced based on Monday's open or any other data. At one point I toyed with the idea of editing the data the following week so as to use Monday's open as the official cost basis for record-keeping terms, but over the long run, the difference between Friday's close and Monday's open should be negligible. Also, to my knowledge, I have never there have not been any SOTW selections that have had significant news over the weekend.</p> <p>The results of the SOTW selection are below and include the date of the newsletter in which the SOTW selection was published, the ticker and the price change from Friday to Friday. For 2008, the SOTW was up 97.7%. For the first eight months of 2009, the SOTW is up 186.5%. Over the full 17 months since the SOTW was launched, the cumulative gains to date are 466.5%. For the record, during this same 17 month period, the S&P 500 index is down 22.7%.</p> <p>For more information, try:</p> <ul> <li><a href="http://vixandmore.blogspot.com/2009/05/stock-of-week-selection-up-373-in-14.html">Stock of the Week ‘Sequential Portfolio’ Up 343% in 14 Months</a> <i>(VIX and More)</i></li> </ul> <p align="center"><img src="http://i104.photobucket.com/albums/m163/bl82/SOTWthru083009.gif" /></p>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com1tag:blogger.com,1999:blog-7101818316470014036.post-82926502914189804262009-07-30T10:32:00.001-07:002009-07-30T10:32:46.532-07:00Content Changes and Portfolio Performance Update for 6/30/09<p>Thanks to those who reminded me to update what has happened to the subscriber newsletter and specifically the three <i>VIX and More</i> portfolios over the course of the last quarter.</p> <p>Starting with the newsletter content, I see at least four areas in particular in which I have expanded and enhanced the information and analysis. These include:</p> <ul> <li>more earnings data and a new earnings surprise graphic</li> <li>increased focus on key economic reports, with an emphasis on looking under the hood at the full set of numbers to get at the nuances the major media headlines missed or glossed over</li> <li>a broader scope of analysis for the <i>Volatility Corner</i> feature and an expansion of the accompanying <i>Volatility Update</i> graphic </li> <li>a more detailed discussion of the <i>Stock of the Week</i> selection</li> </ul> <p>With these changes, I have heard from some subscribers about the dangers of page creep. For now I am capping the weekly newsletter at 10 single-spaced pages and am targeting 8-10 pages for each issue.</p> <p>The graphic below shows the updated performance data for the <i>VIX and More</i> portfolios since inception. To reiterate, these are long-only portfolios of individual stocks that do not invest in ETFs or options and are rebalanced only on weekends. The Focus portfolios derive their name from the fact that each portfolio is limited to only five stocks. The Focus Growth 2 Model Portfolio was launched on August 31, 2008 and utilizes the S&P 500 index as a benchmark; the Focus Foreign Growth, was launched on March 30, 2008 and uses as a benchmark the EAFE (Europe, Australasia and the Far East) Index ETF (EFA).</p> <p>Focus Growth 2 was up 5.6% for the first half of the year, nearly doubling the performance of the benchmark SPX. The three stocks that were the strongest performers were FRPT, HRBN and HOGS. Even more impressive were the results turned in by the Focus Foreign Growth portfolio, which gained 56.1% for the six months ended 6/30/09, 52.4% better than the benchmark. The biggest winner was TSL, which gained 242% since being purchased in late February. The portfolio, which was heavily weighted in Chinese stocks during the second quarter, also benefited from a 124% gain in SNDA.</p> <p>As impressive as the Foreign Growth returns were, the star attraction has clearly been the Stock of the Week ‘Sequential Portfolio,’ which ended June up 101% for the first six months of 2009. During the second quarter, the SOTW saw a <a href="http://vixandmore.blogspot.com/2009/06/stock-of-week-winning-streak-ends-at-13.html">streak of 13 consecutive gains</a> come to an end. The biggest winner was Kirkland’s (KIRK), which gained 29.9% one week in the middle of May. For more details on specific picks, check out <a href="http://vixandmore.blogspot.com/2009/05/stock-of-week-selection-up-373-in-14.html">VIX and More Stock of the Week Selection Up 343% in 14 Months</a>.</p> <p>Starting next quarter, when I provide an update through September 30<sup>th</sup>, I will provide some more detailed portfolio performance data in this space.</p> <p>As a reminder, I am currently offering a 14-day free trial to the subscriber newsletter for new subscriber.</p> <p>Finally, for those who may be interested, I updated the second quarter performance for <a href="http://vixandmoreevals.blogspot.com/">EVALS</a> earlier in the month in <a href="http://vixandmoreevals.blogspot.com/2009/07/evals-q2-2009-update-1847.html">EVALS Q2 2009 Update: +18.47%</a>.</p> <p><img style="display: block; float: none; margin-left: auto; margin-right: auto" src="http://i104.photobucket.com/albums/m163/bl82/Ports063009.gif" /></p> Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-77448210619625886042009-03-30T15:30:00.001-07:002010-07-16T08:30:56.959-07:00One Year Portfolio Performance Update<p>Now that the subscriber newsletter is available on a free trial basis, I no longer see the need to detail some of the content that is available in the newsletter. The format is essentially unchanged from the beginning of the year, but since I have had several requests to provide quarterly updates of the performance of the <i>VIX and More</i> model portfolios, I will use this space to do just that.</p> <p>Technically, the first quarter does not end for one more day, but since today is the one year anniversary of the launch of the newsletter, I thought it would be an ideal time to update the portfolio performance data.</p> <p>The graphic below shows the 2008 and 2009 performance data for the three <i>VIX and More</i> portfolios. These are long-only portfolios of individual stocks that do not invest in ETFs or options and are rebalanced only on weekends. I call the top two portfolios Focus portfolios because each portfolio is limited to only five stocks. The Focus Growth 2 Model Portfolio was launched on August 31, 2008 and utilizes the S&P 500 index as a benchmark. The Focus Growth 2 portfolio was actually beating the benchmark until last week, when the top holding, DRDGOLD (DROOY), suffered a sharp decline.</p> <p>The second Focus portfolio, Focus Foreign Growth, has been a standout performer, particularly in 2009. Launched on March 30, 2008 in the initial newsletter, this portfolio has been heavily invested in China in recent weeks, where top holding Shanda Interactive Entertainment (SNDA) has helped propel the portfolio to an 8.8% advantage over the benchmark EAFE (Europe, Australasia and the Far East) Index ETF (EFA).</p> <p>The big success story has been what I call the Stock of the Week ‘Sequential Portfolio,’ whose name reflects the fact that the ‘portfolio’ consists of only one stock. Each selection is retained in the portfolio for one week only and is automatically replaced the following week, regardless of performance. Also launched on March 30, 2008 in the initial newsletter, the SOTW has gained a remarkable 101.6% during a period in which the benchmark S&P 500 index has declined more than 41%. Some of the top performers in the SOTW have been JDAS (+18.5%), WTI (+15.5%), MAXY (+14.5%), CCOI (+12.3%) and SQM (+11.0).</p> <p>For those who may be interested, I will update the <a href="http://vixandmoreevals.blogspot.com/">EVALS</a> performance data tomorrow after the close and then update both these three portfolios and EVALS at the end of each subsequent quarter going forward. <br /><br /></p> <p style="text-align: center;"><img src="http://i104.photobucket.com/albums/m163/bl82/Ports033009.gif" /></p>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-88969889941683778462009-03-29T16:21:00.001-07:002009-09-18T22:03:51.103-07:00Announcing Blogger Triple Play<p>While Direxion 3x ETFs have been a <a href="http://vixandmore.blogspot.com/2008/11/prediction-direxion-triple-etfs-will.html">big hit</a> since their launch back in November, deep down I have always thought I could do better. So today I am delighted to announce that <i>VIX and More</i> has joined forces with bloggers extraordinaire Jeff Pietsch of <a href="http://marketrewind.blogspot.com/">Market Rewind</a> and Rob Hanna of <a href="http://quantifiableedges.blogspot.com/">Quantifiable Edges</a> with a new 3x offer, the Blogger Triple Play.</p> <p>For an annual subscription of $865, the Blogger Triple Play promises a savings of 25% from the combined monthly subscription prices of the three subscriptions if they had been purchased individually.</p> <p>Included in the package is:<br /></p><ol><li><strong><a href="http://www.marketrewind.blogspot.com/">Market Rewind</a></strong> – How does your portfolio stack up to the market? What's working <em>now</em>? Take a deep-dive each night into over 170 ETFs while maintaining a broad perspective over twelve major asset classes with Jeff Pietsch’s <a href="http://etfrewind.blogspot.com/">ETF Rewind Pro</a>. If that weren't enough, actionable model portfolio ideas, mechanical timing signals, nightly commentary, pairs trading, and custom portfolio correlation and optimization analytics are all included!<br /><br /></li><li><a href="http://quantifiableedges.blogspot.com/"><strong>Quantifiable Edges</strong></a> – Start your week right with Rob Hanna's <a href="http://www.quantifiableedges.com/silver.html">Quantifiable Edges Silver Subscription</a>. Understand how recent market action compares historically. Get more detailed research than has ever been provided on the blog. Give yourself and your trading a <em>Quantifiable Edge</em>.<br /><br /></li><li><a href="http://www.vixandmore.blogspot.com/"><strong>VIX and More</strong></a> – My weekend <a href="http://vixandmoresubscriber.blogspot.com/">subscriber letter</a> goes beyond the blog to provide a global overview of what is moving the markets, from geopolitical events to macroeconomic issues and fundamental analysis, along with a detailed assessment of volatility and market sentiment. The newsletter is comprehensive in scope and focuses on all asset classes.<br /></li></ol> <p>As part of the three-day trial period, you will receive three evening editions of Jeff's <span style="font-style: italic;">ETF Rewind Pro</span>, as well as the most recent weekly subscriber letters from <span style="font-style: italic;">Quantifiable Edges</span> and <span style="font-style: italic;">VIX and More</span> for evaluation.<br /></p><p>The <b>annual subscription fee of $865</b> clears through <em>Market Rewind's</em><b> </b>secure Paypal site under the Maple Park Management, LLC name. <em>This inaugural pricing will not last!</em> You aren't likely to find a better bargain for as much of a diverse informed edge anywhere else on the web. <strong>Why not give it a try?</strong></p><br /><form name="{5C088896-C4CC-4430-A6D8-9DC9D2BE379D}" action="https://www.paypal.com/cgi-bin/webscr" method="post"><br /><input value="_s-xclick" name="cmd" type="hidden"><br /><input value="3967686" name="hosted_button_id" type="hidden"><br /><div style="text-align: center;"><input alt="PayPal - The safer, easier way to pay online!" src="https://www.paypal.com/en_US/i/btn/btn_subscribe_LG.gif" name="submit" border="0" type="image"><br /><span style="color: rgb(102, 102, 102);"><span style="font-size:85%;"><em><span style="font-size:100%;"><strong></strong></span></em></span></span><br /><span style="color: rgb(102, 102, 102);"><span style="font-size:85%;"><em><span style="font-size:100%;"><strong>Note:</strong> Each service is subject to the respective author's disclaimers and notices.</span></em></span></span><br /></div></form>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-54347477710603256382009-01-04T12:24:00.001-08:002009-01-04T17:56:42.925-08:00Subscriber Newsletter Features and Portfolio Performance Through December 2008<p>As I mentioned previously, I continue to make enhancements to the <a href="http://vixandmoresubscriber.blogspot.com/">subscriber newsletter</a>. The most important change is that instead of publishing two very different editions on Wednesday and Sunday, I am now combining all the content into one weekly issue, with new content.</p> <p>Starting with today’s the newsletter, the <i>Market Recap and Commentary</i> section is being expanded into a more comprehensive <i>The Week in Review</i> and separate <i>Market Commentary</i> section. There will be an increased emphasis on a global perspective, macroeconomic issues and fundamental analysis.</p> <p>Another new section, <i>Volatility Update</i>, tracks and analyze changes in the VIX, the <i>VIX and More</i> <a href="http://vixandmore.blogspot.com/search/label/Global%20Volatility%20Index">Global Volatility Index</a>, the <a href="http://vixandmore.blogspot.com/search/label/VXV">VXV</a>, and a number of related indicators, such as moving averages in the VIX, historical volatility in the SPX, the <a href="http://vixandmore.blogspot.com/search/label/VIX%3AVXV">VIX:VXV ratio</a>, etc.</p> <p>The new VIX and More Subscriber Newsletter will be published on Sunday evenings going forward, with the following ‘permanent’ sections:</p> <ol> <li>The Week in Review</li> <li>Market Commentary</li> <li>The Week Ahead: What to Look For</li> <li>Market Sentiment (using a proprietary Aggregate Market Sentiment Indicator)</li> <li>Volatility Update</li> <li>Asset Class Outlook (short, intermediate, and long-term outlook for ten asset classes)</li> <li>Weekly Feature(s)</li> <li>Current Investment Thesis</li> <li>VIX and More Focus Model Portfolios</li> <li>Stock of the Week</li> </ol> <p>As the newsletter and the economy are undergoing some dramatic changes, I am now making the newsletter available on a <span style="font-weight: bold; font-style: italic;">free trial</span> basis. In order to receive a free trial, just click on the “Monthly Subscription: Subscribe” button in the upper right hand corner of the blog and follow the instructions. The free trial lasts for 14 days. Readers who elect not to cancel after the 14 day trial period will be billed at a rate of $30 per month.</p> <p>Also, as a gesture of appreciation to former subscribers, I will add one free month to any subscriber who chooses to re-subscribe.</p> <p>In response to reader requests, I will also be creating a detailed <a href="http://vixandmoresubscriber.blogspot.com/2009/01/vix-and-more-subscriber-newsletter.html">glossary</a> to provide background on terms, abbreviations, acronyms and tickers I frequently refer to in the newsletter. The beginnings of this glossary can be found in the post below.<br /></p> <p>For the record, some of the December features included:</p> <ul> <li><i>2008 Volatility Highlights and Observations</i></li> <li><i>What the VIX Indicates Right Now</i></li> <li><i>Equity and Credit Risk Both Dropping Rapidly</i></li> <li><i>Housing Prices, Inventory, and Net Worth</i></li> <li><i>Strong Divergence Between Investment Grade and High Yield Corporate Bonds</i></li> <li><i>VIX Term Structure Shows Changing Evolution of Volatility and Risk Expectations</i></li> <li><i>Further Research into the Spread Between the VIX and the Historical Volatility of the SPX</i></li> <li><i>A Closer Look at VIX and SPX Divergences</i></li> <li><i>Week By Week Asset Class Year in Review</i></li> <li><i>Financials Lagging, Consumer Discretionary Stocks Leading</i></li> <li><i>Options Expiration Income Strategy</i></li> <li><i>A Buy-Write Strategy Approach</i></li> <li><i>New Feature: Volatility Update</i></li> <li><i>Sector Strength in the Recent Rally <br /></i></li> </ul> <p>Since their launch (3/30/08 for the Focus Foreign Growth and Stock of the Week, 8/31/08 for the Focus Growth 2), the portfolios (equities only, long only) have performed as follows:</p> <p><img style="display: block; float: none; margin-left: auto; margin-right: auto;" src="http://i104.photobucket.com/albums/m163/bl82/Ports123108.gif" /> </p> <p>If anyone has any additional questions about the subscriber newsletter, please feel free to email me at <a href="mailto:bill.luby@gmail.com">bill.luby@gmail.com</a></p>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-50788070798206203942009-01-04T12:11:00.000-08:002013-10-21T14:46:23.146-07:00VIX and More Subscriber Newsletter Glossary<b> </b><br />
<b>AMSI </b>– Aggregate Market Sentiment Indicator: a <i>VIX and More</i> proprietary sentiment indicator that incorporates components of volatility, put to call data, market breadth, volume and other factors<span style="font-weight: bold;"> </span><br />
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<span style="font-weight: bold;">Aggressive Trader Model Portfolio </span>– a a mechanical, long-only, aggressive growth portfolio of 5 stocks that was launched on 3/30/08 and is evaluated for rebalancing every weekend. The portfolio is typically 100% invested in U.S. equities and ADRs. It is non-diversified and has extremely high turnover, generally >1000% per year.<b> </b><br />
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<b>backwardation </b>– a downward sloping term structure curve in a futures product (e.g., VXX, VXZ) in which front month futures are priced higher than back month futures<b> </b><br />
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<b>contango</b>– an upward sloping term structure curve in a futures product (e.g., VIX, crude oil, natural gas, etc.) in which front month futures are priced lower than back month futures<b> </b><br />
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<b>Contango Index </b>– a <i>VIX and More</i> proprietary index that evaluates the degree of <i>negative</i> roll yield across all outstanding VIX futures contracts on a scale of 0-100. A high number means a high degree of negative roll yield across the full term structure and a low number means a positive roll yield across the full term structure. A value of 50 is a considered the median reading and actually indicates some small amount of negative roll yield, as the full VIX term structure is typically in contango.<br />
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<b>CVOL</b>– ticker for the C-Tracks ETN on CVOL, which targets VIX futures with three to four months of maturity, utilizes 2x leverage, and also includes a dynamic short position in the S&P 500 index<b> </b><br />
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<b>DJIA </b>– ticker/abbreviation for the <a href="http://en.wikipedia.org/wiki/Dow_Jones_Industrial_Average">Dow Jones Industrial Average</a>: the U.S. equity index that is most widely tracked by the media and the general public<b> </b><br />
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<b>EAFE</b> – the <a href="http://us.ishares.com/product_info/fund/overview/EFA.htm">MSCI EAFE Index</a> of developed countries from <b>E</b>urope <b>A</b>ustralasia and the <b>F</b>ar <b>E</b>ast (excludes the U.S. and Canada) and basis for the popular <b>EFA </b>ETF<b> </b><br />
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<b>EEM</b> – ticker for an ETF that tracks the <a href="http://us.ishares.com/product_info/fund/overview/EEM.htm">MSCI Emerging Markets Index</a><b> </b><br />
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<b>EFA</b> – ticker for an ETF that tracks the <a href="http://us.ishares.com/product_info/fund/overview/EFA.htm">MSCI EAFE Index</a> of developed countries from <b>E</b>urope <b>A</b>ustralasia and the <b>F</b>ar <b>E</b>ast, which excludes stocks from the U.S. and Canada<b> </b><br />
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<b>EMA </b>– <a href="http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average">exponential moving average</a>: applies an exponential weighting so that most recent data points in a series are given greater weight in the calculation of a moving average<b> </b><br />
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<b>ETF</b> – <a href="http://en.wikipedia.org/wiki/Exchange-traded_fund">exchange-traded fund</a>: a group of stocks that often resemble a mutual fund in composition, but can be traded much like a stock during the trading day<b> </b><br />
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<b>ETN</b> – exchange-traded note: similar in most respects to an ETF, except that ETNs are technically a debt security of the issuer<b> </b><br />
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<b>ETP</b> – exchange-traded product: in an effort to simplify nomenclature and gloss over the distinctions between ETFs and ETNs, I am using the ETP name to describe a superset of exchange-traded products consisting of both ETFs and ETNs<b> </b><br />
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<b>FOMC </b>– <a href="http://www.federalreserve.gov/monetarypolicy/fomc.htm">Federal Open Market Committee</a>: plays a lead role in establishing U.S. monetary policy by setting target Fed Funds rates<span style="font-weight: bold;"> </span><br />
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<span style="font-weight: bold;">Focus Foreign Growth Model Portfolio </span>– a mechanical, long-only, aggressive growth portfolio of 5 stocks that was launched on 3/30/08 and is evaluated for rebalancing every weekend. The portfolio is typically 100% invested in ADRs. It is non-diversified and has high turnover, generally >1000% per year.<span style="font-weight: bold;"> </span><br />
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<span style="font-weight: bold;">Focus Growth 2 Model Portfolio </span>– a mechanical, long-only, aggressive growth portfolio of 5 stocks that was launched on 8/31/08 and is evaluated for rebalancing every weekend. The portfolio is typically 100% invested in U.S. equities and ADRs. It is non-diversified and has high turnover, generally >500% per year.<b> </b><br />
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<b>GVIX </b>– <a href="http://vixandmore.blogspot.com/search/label/Global%20Volatility%20Index">Global Volatility Index</a>: a <i>VIX and More</i> proprietary index which is derived from a weighted average of the implied volatility in options for equities in the 15 largest global economies<b> </b><br />
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<b>HV </b>– historical volatility: a measure of actual volatility in the price of security over a specified period of time, typically calculated in terms of standard deviations from the mean of a data series<b> </b><br />
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<b>IV </b>– implied volatility: a measure of estimated future volatility in the price of a security as derived from options prices<b> </b><br />
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<b>LW </b>– last week<b> </b><br />
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<b>McClellan Summation Index</b> – A runn<span style="font-family: inherit;">ing total o</span>f the difference between the 19-day and 39-day exponential moving averages of the net difference between the NYSE advancing issues minus declining issues (<a href="http://vixandmore.blogspot.com/2007/04/mcclellan-summation-index.html">more</a>)<b> </b><br />
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<b>Mean Reversion Index</b> – <span style="font-family: Times, 'Times New Roman', serif;">a <i>VIX and More</i> proprietary index that <span style="line-height: 115%;">Evaluates the likelihood that the VIX will </span><i style="line-height: 115%;">decline</i><span style="line-height: 115%;"> due to the effect of mean reversion on a scale of 0-100.</span><span style="line-height: 115%;"> </span><span style="line-height: 115%;">The calculations in this index incorporate short-term, medium-term and long-term VIX moving averages in order to handicap the likelihood that the current level of the VIX will return to a prior trading range.</span><span style="line-height: 115%;"> </span><span style="line-height: 115%;">A high number means that the VIX is above most or all of its moving averages and is expected to decline going forward; a low number means that the VIX is below most or all of its moving averages and is likely to rise going forward.</span></span><br />
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<b>NDX</b> – ticker/abbreviation for the <a href="http://dynamic.nasdaq.com/dynamic/nasdaq100_activity.stm">NASDAQ-100 Index</a>: an index of the largest domestic and international non-financial securities listed on The NASDAQ based on market capitalization<span style="font-weight: bold;"> </span><br />
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<span style="font-weight: bold;">Retro VIX </span>– calculates a backward-looking "VIX" based on realized volatility in the SPX over the course of the last 21 trading sessions<b> </b><br />
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<b>Roll Yield Index - </b><span style="font-family: Times, 'Times New Roman', serif;">a <i>VIX and More</i> proprietary index that Evaluates the degree of <i>negative</i> roll yield between the front month VIX futures and the second month VIX futures on a scale of 0-100. A high number means a high degree of negative roll yield (second month much higher than front month) and a low number means a positive roll yield (second month lower than front month.) A value of 50 is a considered the median reading and actually indicates some small amount of negative roll yield, as these two months are typically in contango.</span><br />
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<b>RUT</b> – ticker/abbreviation for the <a href="http://www.russell.com/Indexes/characteristics_fact_sheets/US/Russell_2000_Index.asp">Russell 2000 Index</a>: <a href="http://www.blogger.com/post-edit.g?blogID=7101818316470014036&postID=5078807079820620394" name="top">measures the performance of the small-cap segment of the U.S. equity universe</a><b> </b><br />
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<b>SMA </b>– <a href="http://en.wikipedia.org/wiki/Moving_average#Simple_moving_average">simple moving average</a>: unweighted mean of a data series<b> </b><br />
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<b>SOTW</b> – stock of the week<b> </b><br />
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<b>SPX</b> – ticker/abbreviation for the <a href="http://www2.standardandpoors.com/portal/site/sp/en/us/page.topic/indices_500/2,3,2,2,0,0,0,0,0,2,1,0,0,0,0,0.html">Standard and Poor’s (S&P) 500 Index</a>: de facto standard of U.S. equity indices for investors<b> </b><br />
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<b>SPX hv20</b>– the 20-day historical (aka statistical, realized or actual) volatility for the SPX<b> </b><br />
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<b>USO</b> – ticker for the <a href="http://www.unitedstatesoilfund.com/">U.S. Oil Fund</a>, an ETF that tracks the movements of light, sweet crude oil, a.k.a. West Texas Intermediate<b> </b><br />
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<b>VIX Futures Contango Index </b><i>[often shortened to <b>Contango Index</b>]</i> – a <i>VIX and More</i> proprietary index that evaluates the degree of <i>negative</i> roll yield across all outstanding VIX futures contracts on a scale of 0-100. A high number means a high degree of negative roll yield across the full term structure and a low number means a positive roll yield across the full term structure. A value of 50 is a considered the median reading and actually indicates some small amount of negative roll yield, as the full VIX term structure is typically in contango.<br />
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<b>VIX sma10 </b>– a 10-day simple moving average for the VIX (CBOE Volatility Index), which measures the expected 30 day volatility that is implied by options in the SPX<b> </b><br />
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<b>volatility crush </b>– a dramatic decrease in implied volatility, often associated with the passing of a major news events such as earnings or an FDA decision on a drug application<b> </b><br />
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<b>vs. 10d/20d/50d/200d </b>– current price relative to 10/20/50/200 day simple moving average<b> </b><br />
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<b>vs. LW </b>– percentage change since last week (for non-holiday weeks, this is equal to current price relative to the 5 day simple moving average)<b> </b><br />
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<b>VXV </b>– ticker for the CBOE S&P 500 3-Month Volatility Index, which measures the expected 93 day volatility that is implied by options in the SPX<b> </b><br />
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<b>VXX </b>– ticker for the iPath S&P 500 VIX Short-Term Futures ETN, which targets VIX futures with one month to maturity<b> </b><br />
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<b>VXX roll yield </b>– net differential between VIX front month futures and VIX second month futures<b> </b><br />
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<b>VXZ </b>– ticker for the iPath S&P 500 VIX Mid-Term Futures ETN, which targets VIX futures with five months to maturity<b> </b><br />
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<b>XHB</b> – ticker for the <a href="http://www.amex.com/?href=/etf/prodInf/EtPiPerf.jsp?Product_Symbol=XHB">homebuilders sector SPDR</a>, an ETF<br />
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+XIV Index</b><b> </b>– <span style="font-family: Times, 'Times New Roman', serif;">a <i>VIX and More</i> proprietary index that is a <span style="line-height: 115%;">composite index which incorporates a dynamic weighted average of the </span><i style="line-height: 115%;">Roll Yield Index</i><span style="line-height: 115%;">, the </span><i style="line-height: 115%;">Contango Index</i><span style="line-height: 115%;"> and the </span><i style="line-height: 115%;">Mean Reversion Index</i><span style="line-height: 115%;"> in an effort to determine the attractiveness of a long XIV and/or short VXX position from a risk-reward perspective.</span><span style="line-height: 115%;"> </span><span style="line-height: 115%;">The weights change each week, but generally the </span><i style="line-height: 115%;">Roll Yield Index</i><span style="line-height: 115%;"> has the highest weighting, followed by the </span><i style="line-height: 115%;">Mean Reversion Index</i><span style="line-height: 115%;"> and the </span><i style="line-height: 115%;">Contango Index</i><span style="line-height: 115%;">.</span><span style="line-height: 115%;"> </span><span style="line-height: 115%;">While the index has theoretical values of 0-100, most readings cluster around the 40-60 range.</span><span style="line-height: 115%;"> </span><span style="line-height: 115%;">Additionally, while 50 is considered a median reading, note that this should be interpreted as a long XIV and/or short VXX position as having ‘median attractiveness.’</span><span style="line-height: 115%;"> </span></span><br />
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<b>XLF</b> – ticker for the <a href="http://www.sectorspdr.com/eqsnaps/?do=snapshot&symbol=XLF">financial sector SPDR</a>, an ETF<b> </b><br />
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<b>XLY</b> – ticker for the <a href="http://www.sectorspdr.com/eqsnaps/?do=snapshot&symbol=XLY">consumer discretionary sector SPDR</a>, an ETFBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-19847407073835906322008-12-07T10:12:00.001-08:002008-12-07T12:10:32.583-08:00Subscriber Newsletter Features and Portfolio Performance Through November 2008<p>Largely as a result of reader input, I continue to make enhancements to the <a href="http://vixandmoresubscriber.blogspot.com/">subscriber newsletter</a>. At the beginning of January, I will be rolling out more new features. The one I am most excited about is a weekly section on volatility that will appear in the Sunday edition of the newsletter. This section will track and analyze changes in the VIX, the <i>VIX and More</i> <a href="http://vixandmore.blogspot.com/search/label/Global%20Volatility%20Index">Global Volatility Index</a>, the <a href="http://vixandmore.blogspot.com/search/label/VXV">VXV</a>, and a number of related indicators, such as moving averages in the VIX, historical volatility in the SPX, the <a href="http://vixandmore.blogspot.com/search/label/VIX%3AVXV">VIX:VXV ratio</a>, etc.</p> <p>As currently constructed, the Sunday edition of the newsletter continues to incorporate a number of regular weekly sections, including a market commentary, asset class outlook, market sentiment update, current investment thesis, and week in review.</p> <p>Wednesday’s edition is more feature-laden and has traditionally been devoted to subjects such as ETFs, sector rotation, volatility, market breadth, and related market sentiment-related issues.</p> <p>Some of the November features from the Wednesday edition included:</p> <ul> <li><i>McClellan Oscillator Shows Strong Breadth Supporting the Bounce</i></li> <li><i>Put to Call Ratios Suggest Bullish Reversal Soon</i></li> <li><i>ETF Bottom Fishing Food for Thought</i></li> <li><i>Top Performing Sector ETFs</i></li> <li><i>Bullish Explosion in Spread Between VIX and 20 Day Historical Volatility in SPX</i></li> <li><i>What’s Working? Put to Call Ratios and the VIX-SPX HV Spread</i></li> <li><i>Credit Default Swaps and Sovereign Debt Problems</i></li> <li><i>Double Tops in the VIX (excerpted on the blog as <a href="http://vixandmore.blogspot.com/2008/12/double-tops-in-vix.html">The Significance of Double Tops in the VIX</a>)</i></li> <li><i>VIX Term Structure: No End to a 45+ VIX?</i></li> <li><i>Oil: An Alternative Scenario</i></li> <li><i>Oil and Energy Stocks</i></li> <li><i>Analysis of Weekday Performance in the Most Recent Bearish Leg</i></li> <li><i>Outlook: More Opportunities Ahead for the Shorts</i></li> <li><i>Short Timing Triggers Using RSI</i></li> <li><i>Shorting with Direxion -300% ETFs</i></li> <li><i>Extreme Implied Volatility and Bear Put Spread Opportunities</i></li> <li><i>Implied Volatility and Corporate Themes</i></li> <li><i>Cisco’s Guidance Is a Shot across the Bow for the Technology Sector</i></li> </ul> <p>Since their launch (3/30/08 for the Focus Foreign Growth and Stock of the Week, 8/31/08 for the Focus Growth 2), the portfolios (equities only, long only) have performed as follows:</p> <p align="center"><img src="http://i104.photobucket.com/albums/m163/bl82/Ports113008.gif" /> </p> <p>If anyone has any additional questions about the subscriber newsletter, or is interested in reviewing a sample, please feel free to email me at <a href="mailto:bill.luby@gmail.com">bill.luby@gmail.com</a></p>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-21376190539154434132008-11-02T16:07:00.001-08:002008-11-02T16:09:50.473-08:00Subscriber Newsletter Features and Portfolio Performance Through October 2008<p>Thanks to reader input, the <a href="http://vixandmoresubscriber.blogspot.com/">subscriber newsletter</a> has undergone several enhancements during the past month.</p> <p>The Sunday edition of the newsletter continues to incorporate a number of regular weekly sections, including a market commentary, asset class outlook, market sentiment update, current investment thesis, and week in review.</p> <p>Wednesday’s edition has traditionally been devoted to subjects such as sector rotation, volatility, market breadth, and related market sentiment issues. Recently, I have expanded the focus to include a more global emphasis, incorporated more macroeconomic and fundamental issues, discussed specific VIX options trading opportunities, and highlighted selected stocks and ETFs.</p> <p>Some of the October features included:</p> <ul> <li><i>Sectors Most and Least Likely to Lead a Rally</i></li> <li><i>Hedge Fund Selling and Capitulation</i></li> <li><i>Bottoms and Price Discovery</i></li> <li><i>A Simplified Approach for Bottoms and When to Buy</i></li> <li><i>Combining the VIX and the TED Spread</i></li> <li><i>Should You Go Long at Volatility Extremes? A Look at the Nikkei (excerpted on the blog as <a href="http://vixandmore.blogspot.com/2008/10/should-you-go-long-at-volatility.html">Should You Go Long at Volatility Extremes? A Look at the Nikkei 225</a>)</i></li> <li><i>VIX:VXV Ratio Waiting for Confirmation</i></li> <li><i>How to Trade the VIX</i></li> <li><i>VIX Bear Call Spreads</i></li> <li><i>VIX Bull Put Spreads</i></li> <li><i>Capturing Volatility in VIX Options: A Trade Idea</i></li> <li><i>Beaten Up Large Caps on the Move</i></li> <li><i>Some Oversold Stock Ideas Using the DeMarker Indicator</i></li> <li><i>What the Big Boys Were Buying When the Market Rallied</i></li> <li><i>The Lack of 52 Week Highs in the S&P 500 Index</i></li> <li><i>Evaluating Prospects for a Housing Market Turnaround – Inventory</i></li> <li><i>Evaluating Prospects for a Housing Market Turnaround - Affordability</i></li> <li><i>Biotech and Health Care Stocks with Offensive and Defensive Potential</i></li> <li><i>Recent Sector Weakness</i></li> <li><i>Overbought and Oversold ETFs</i></li> </ul> <p>Since their launch (3/30/08 for the Focus Foreign Growth and Stock of the Week, 8/31/08 for the Focus Growth 2), the portfolios (equities only, long only) have performed as follows:</p> <p align="center"><img src="http://i104.photobucket.com/albums/m163/bl82/Ports103108.gif" /> </p> <p>If anyone has any additional questions about the subscriber newsletter, or is interested in reviewing a sample, please feel free to email me at <a href="mailto:bill.luby@gmail.com">bill.luby@gmail.com</a></p>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-147096697381640302008-10-06T21:27:00.001-07:002008-10-06T21:33:41.938-07:00Subscriber Newsletter Features and Portfolio Performance through September 2008<p>One of purposes of the <a href="http://vixandmoresubscriber.blogspot.com/">subscriber newsletter</a> blog is to provide a space in which to summarize the recent content in the newsletter and update the performance of the model portfolios that I make available to newsletter subscribers.</p> <p>The newsletter continues to incorporate a number of regular weekly sections, including a market commentary, asset class outlook, market sentiment update, current investment thesis, and week in review. Features generally focus on subjects such as sector rotation, volatility, put to call ratios, market breadth, volume, and other sentiment-related issues. Some of the September features included:</p> <ul> <li><i>An Overview of Capitulation</i></li> <li><i>Using the Force Index to Measure Elements of Capitulation</i></li> <li><i>Evaluating the Health of the Credit Markets</i></li> <li><i>What Happens When the VIX Spikes Over 40</i></li> <li><i>More on SPX Performance After VIX Spikes</i></li> <li><i>VIX:VXV Ratio and VIX Futures<br /></i></li><li><i>VXV Volatility as a Market Timing Signal</i></li> <li><i>Putting Highs and Lows in Historical Perspective…and Looking Forward</i></li> <li><i>Gold Miners Extremely Cheap Relative to the Commodity</i></li> <li><i>SPX Has Now Pulled Back Over 50% From 2002-2007 Bull Move</i></li> <li><i>A Conceptual Framework for Volatility Events</i></li> <li><i>Event Volatility vs. Structural Volatility</i></li> <li><i>The Rise of the Russian Bear</i></li> <li><i>Extreme Stress in Asia, Particularly in South Korea</i></li> </ul> <p>Since their launch (3/30/08 for the Focus Foreign Growth and Stock of the Week, 8/31/08 for the Focus Growth 2), the portfolios (equities only, long only) have performed as follows:</p> <p style="text-align: center;"><img src="http://i104.photobucket.com/albums/m163/bl82/Ports093008.gif" /> </p> <p>If anyone has any additional questions about the subscriber newsletter, or is interested in reviewing a sample, please feel free to email me at <a href="mailto:bill.luby@gmail.com">bill.luby@gmail.com</a></p>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-13331987313437458442008-09-21T15:53:00.001-07:002008-09-21T15:54:24.699-07:00Stock of the Week Cumulative Gain Now 102% Since Inception<p>To update the post below, <a href="http://vixandmoresubscriber.blogspot.com/2008/09/stock-of-week-performance-from-033008.html">Stock of the Week Performance from 03/30/08 to 09/08/08</a>, I thought it might be of interest to note that the cumulative gains in the <a href="http://vixandmoresubscriber.blogspot.com/search/label/Stock%20of%20the%20Week">Stock of the Week</a> selection are now up to 102.1% since the March 30, 2008 inception.</p> <p>Credit goes to a strong week from Aceto (<a href="http://finance.yahoo.com/q?s=ACET">ACET</a>) for pushing the SOTW over the triple digit threshold.</p>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0tag:blogger.com,1999:blog-7101818316470014036.post-65651940408321419182008-09-09T10:19:00.000-07:002008-09-20T19:00:45.592-07:00Stock of the Week Performance from 03/30/08 to 09/08/08<p class="MsoNormal">Lately I have received several questions about the <a href="http://vixandmoresubscriber.blogspot.com/search/label/Stock%20of%20the%20Week">Stock of the Week</a>. Each Sunday I conclude the subscriber newsletter with a new Stock of the Week (SOTW) selection. These are companies that range from large caps to small caps (minimum market capitalization of $250 million and average daily volume of 250,000 shares) that I believe have excellent short-term potential and solid long-term potential.<br /></p><p class="MsoNormal">As I state in the newsletter, each week I automatically ‘sell’ the selection from the previous week and replace it with a new selection, regardless of my opinion about the desirability of holding the Stock of the Week beyond the weekly time frame. The result is that I am highlighting a new opportunity each week rather than trying to optimize the holding period for specific stocks.<br /></p><p class="MsoNormal">This approach has led to some interesting results, which I have summarized in the chart below. First, of the 24 SOTW selections, 17 have been profitable at the end of the first day after they were recommended, with an eye-catching mean return of 3.4% in that first day. Excluding the current selection, which was up 7.7% yesterday, 15 of the 23 SOTW selections have been profitable at the end of the week, with a mean return of 2.3%. Not surprisingly, the variation in the weekly returns is fairly high, ranging from +15.5% to -14.8%, with a median weekly return of 3.7%. As of yesterday’s close, the sequential return of all SOTW selections from the March 30, 2008 inception was 84.4%.<br /></p><p class="MsoNormal">It is important to note that the SOTW selections have not necessarily been strong performers following the initial one week holding period. The graphic shows one stock that is down 64% since the SOTW designation and two other stocks that have fallen in excess of 40%. Obviously any approach that beats the indices by such a wide margin must entail a great deal of risk – and the SOTW is no exception. The SOTW performance history does suggest, however, that it is possible to rack up big winners in a bear market, even while picking stocks that are generally falling in concert with the market.<br /></p><p class="MsoNormal">Finally, I feel obliged to add that I certainly do not expect the SOTW selections to continue to match the performance from the first five or so months, but I am cheered by the numbers that have been put up so far and the by the interest this feature has generated.<br /><br /></p><div style="text-align: center;"><img src="http://i104.photobucket.com/albums/m163/bl82/SOTWthru090808.gif" /><p></p></div>Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.com0