VIX and More Subscriber Newsletter Blog

Changes to Newsletter Place More Emphasis on VIX Exchange-Traded Products

2011-12-04T16:34:00.001-08:00

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.

To set the context and provide some explanation for those changes, let me offer a brief bit of history.

Background
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 merged the two newsletters into one newsletter at the end of 2008.

Content Drift Due to New VIX Exchange-Traded Products
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 31 volatility ETPs 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%.

Reader Survey Results
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.

Changes to the Newsletter Implemented in July
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:

1) VIX Futures Term Structure – 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.

2) Trading Volatility – 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.

I also enhanced third volatility section, formerly known as Volatility Corner and now known as Volatility Overview. 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.

As the table below shows, the only section I dropped from the newsletter was the VIX and More Focus Model Portfolios. I also used this opportunity to fold The Week in Review and The Week Ahead into one larger Market Commentary section.

Old VIX and More Newsletter	VIX and More Newsletter Since July
The Week in Review: What Moved the Markets	Market Commentary (includes a look back and a look ahead)
Market Commentary
The Week Ahead: What to Look For
Aggregate Market Sentiment Indicator (AMSI)	Aggregate Market Sentiment Indicator (AMSI)
Volatility Corner	Volatility Overview
	VIX Futures Term Structure
	Trading Volatility
Asset Class Outlook	Asset Class Outlook
Current Investment Thesis	Current Investment Thesis
~~VIX and More Focus Model Portfolios~~
The Stock of the Week	The Stock of the Week

EVALS Relaunched, Now Focusing on VIX ETPs
The final change that came from the reader survey was a relaunch of EVALS (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 Volatility Overview, VIX Futures Term Structure and Trading Volatility to an actively-traded model portfolio.

Conclusion
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.

Disclosure(s): long XIV and short VXX at time of writing

Newsletter and Portfolio Performance Update Through 12/31/10

2011-03-30T23:50:00.000-07:00

Today marks the third anniversary of the VIX and More 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.

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.

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.

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 Volatility Corner 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:

TVIX -- VelocityShares Daily 2X VIX Short-Term ETN
XIV -- VelocityShares Daily Inverse VIX Short-Term ETN
XVIX -- UBS E-TRACS Daily Long-Short VIX ETN

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.

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.
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.

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^th 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.

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.

The full set of MarketSci reviews can be found at:

Review of the VIX & More Stock of the Week
Hedging the VIX & More Stock of the Week – uses a short SPY position to hedge market risk, with impressive results
Holding V&M’s Stock of the Week for Longer than a Week – looks at a 10-week holding period and does not find persistent outperformance past the initial post-selection week

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 VIX and More post MarketSci on the Stock of the Week ‘Sequential Portfolio’:

“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.”

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.

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.

Disclosure(s): long XIV and short VXX at time of writing

Newsletter and Portfolio Performance Update Through 9/30/10

2010-10-26T23:50:00.000-07:00

During the third quarter of 2010 I made two important changes to the subscriber newsletter.

The first change is relatively straightforward. Acting on quite a few requests for more analysis VXX, I added my proprietary VIX Futures Contango Index to the Volatility Update table I publish each week in the recurring Volatility Corner section of the newsletter. Each week I now review the VIX futures, the VIX Futures Contango index and the VXX roll yield in the context of their impact on VXX and other volatility products.

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.

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.

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.

The full set of MarketSci reviews can be found at:

Review of the VIX & More Stock of the Week
Hedging the VIX & More Stock of the Week – uses a short SPY position to hedge market risk, with impressive results
Holding V&M’s Stock of the Week for Longer than a Week – looks at a 10-week holding period and does not find persistent outperformance past the initial post-selection week

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 MarketSci on the Stock of the Week ‘Sequential Portfolio’:

“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.”

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.

Disclosure(s): short VXX at time of writing

Newsletter and Portfolio Performance Update Through 6/30/10

2010-09-24T15:50:00.001-07:00

Largely 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.

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.

The full set of MarketSci reviews can be found at:

Review of the VIX & More Stock of the Week
Hedging the VIX & More Stock of the Week – uses a short SPY position to hedge market risk, with impressive results
Holding V&M’s Stock of the Week for Longer than a Week – looks at a 10-week holding period and does not find persistent outperformance past the initial post-selection week

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 MarketSci on the Stock of the Week ‘Sequential Portfolio’:

“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.”

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 XRTX, VPHM and PQ.

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.

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.

Disclosure(s): long VPHM at time of writing

Newsletter and Portfolio Performance Update for 3/31/10

2010-04-14T22:34:00.001-07:00

The newsletter continued to fire on all cylinders for the first quarter of 2010 and it was great to get so much positive feedback.

Most of the recent enhancements were relatively minor. I added a color coded Economic Data Highlights 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 Volatility Update table. Finally, I made some minor enhancements to the proprietary Aggregate Market Sentiment Indicator (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.

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.

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.

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.

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.

Disclosure(s): none

Newsletter and Portfolio Performance Update for 12/31/09

2010-01-03T14:56:00.001-08:00

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.

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).

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.

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.

Disclosure: none

Newsletter and Portfolio Performance Update for 9/30/09

2009-09-30T22:27:00.001-07:00

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^th piece with the title, Stock of the Week ‘Sequential Portfolio’ Up 466% Since 3/30/08 Launch.

With the increased interest in the SOTW has come increased interest in the VIX and More 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.

The graphic below shows the updated performance data for the VIX and More 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).

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.

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:

As a reminder, I am currently offering a 14-day free trial to the subscriber newsletter for new subscribers.

Stock of the Week ‘Sequential Portfolio’ Up 466% Since 3/30/08 Launch

2009-09-07T11:17:00.001-07:00

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.

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.

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 story stock.

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.

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%.

For more information, try:

Stock of the Week ‘Sequential Portfolio’ Up 343% in 14 Months (VIX and More)

Content Changes and Portfolio Performance Update for 6/30/09

2009-07-30T10:32:00.001-07:00

Thanks to those who reminded me to update what has happened to the subscriber newsletter and specifically the three VIX and More portfolios over the course of the last quarter.

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:

more earnings data and a new earnings surprise graphic
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
a broader scope of analysis for the Volatility Corner feature and an expansion of the accompanying Volatility Update graphic
a more detailed discussion of the Stock of the Week selection

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.

The graphic below shows the updated performance data for the VIX and More 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).

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.

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 streak of 13 consecutive gains 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 VIX and More Stock of the Week Selection Up 343% in 14 Months.

Starting next quarter, when I provide an update through September 30^th, I will provide some more detailed portfolio performance data in this space.

As a reminder, I am currently offering a 14-day free trial to the subscriber newsletter for new subscriber.

Finally, for those who may be interested, I updated the second quarter performance for EVALS earlier in the month in EVALS Q2 2009 Update: +18.47%.

One Year Portfolio Performance Update

2009-03-30T15:30:00.001-07:00

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 VIX and More model portfolios, I will use this space to do just that.

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.

The graphic below shows the 2008 and 2009 performance data for the three VIX and More 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.

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).

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).

For those who may be interested, I will update the EVALS performance data tomorrow after the close and then update both these three portfolios and EVALS at the end of each subsequent quarter going forward.

Announcing Blogger Triple Play

2009-03-29T16:21:00.001-07:00

While Direxion 3x ETFs have been a big hit since their launch back in November, deep down I have always thought I could do better. So today I am delighted to announce that VIX and More has joined forces with bloggers extraordinaire Jeff Pietsch of Market Rewind and Rob Hanna of Quantifiable Edges with a new 3x offer, the Blogger Triple Play.

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.

Included in the package is:

Market Rewind – How does your portfolio stack up to the market? What's working now? Take a deep-dive each night into over 170 ETFs while maintaining a broad perspective over twelve major asset classes with Jeff Pietsch’s ETF Rewind Pro. 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!
Quantifiable Edges – Start your week right with Rob Hanna's Quantifiable Edges Silver Subscription. 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 Quantifiable Edge.
VIX and More – My weekend subscriber letter 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.

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Subscriber Newsletter Features and Portfolio Performance Through December 2008

2009-01-04T12:24:00.001-08:00

As I mentioned previously, I continue to make enhancements to the subscriber newsletter. 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.

Starting with today’s the newsletter, the Market Recap and Commentary section is being expanded into a more comprehensive The Week in Review and separate Market Commentary section. There will be an increased emphasis on a global perspective, macroeconomic issues and fundamental analysis.

Another new section, Volatility Update, tracks and analyze changes in the VIX, the VIX and More Global Volatility Index, the VXV, and a number of related indicators, such as moving averages in the VIX, historical volatility in the SPX, the VIX:VXV ratio, etc.

The new VIX and More Subscriber Newsletter will be published on Sunday evenings going forward, with the following ‘permanent’ sections:

The Week in Review
Market Commentary
The Week Ahead: What to Look For
Market Sentiment (using a proprietary Aggregate Market Sentiment Indicator)
Volatility Update
Asset Class Outlook (short, intermediate, and long-term outlook for ten asset classes)
Weekly Feature(s)
Current Investment Thesis
VIX and More Focus Model Portfolios
Stock of the Week

As the newsletter and the economy are undergoing some dramatic changes, I am now making the newsletter available on a free trial 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.

Also, as a gesture of appreciation to former subscribers, I will add one free month to any subscriber who chooses to re-subscribe.

In response to reader requests, I will also be creating a detailed glossary 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.

For the record, some of the December features included:

2008 Volatility Highlights and Observations
What the VIX Indicates Right Now
Equity and Credit Risk Both Dropping Rapidly
Housing Prices, Inventory, and Net Worth
Strong Divergence Between Investment Grade and High Yield Corporate Bonds
VIX Term Structure Shows Changing Evolution of Volatility and Risk Expectations
Further Research into the Spread Between the VIX and the Historical Volatility of the SPX
A Closer Look at VIX and SPX Divergences
Week By Week Asset Class Year in Review
Financials Lagging, Consumer Discretionary Stocks Leading
Options Expiration Income Strategy
A Buy-Write Strategy Approach
New Feature: Volatility Update
Sector Strength in the Recent Rally

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:

If anyone has any additional questions about the subscriber newsletter, please feel free to email me at bill.luby@gmail.com

VIX and More Subscriber Newsletter Glossary

2009-01-04T12:11:00.000-08:00

AMSI – Aggregate Market Sentiment Indicator: a VIX and More proprietary sentiment indicator that incorporates components of volatility, put to call data, market breadth, volume and other factors

Aggressive Trader Model Portfolio – 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.

backwardation – 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

contango– an upward 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

Contango Index – a VIX and More proprietary index that measures the degree of contango across the term structure of the full range of VIX futures. The index values range from 0-100, with 0 being extreme backwardation and 100 being extreme contango. A value of 50 would be considered typical and represents a slight contango in the VIX futures term structure.

CVOL– 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

DJIA – ticker/abbreviation for the Dow Jones Industrial Average: the U.S. equity index that is most widely tracked by the media and the general public

EAFE – the MSCI EAFE Index of developed countries from Europe Australasia and the Far East (excludes the U.S. and Canada) and basis for the popular EFA ETF

EEM – ticker for an ETF that tracks the MSCI Emerging Markets Index

EFA – ticker for an ETF that tracks the MSCI EAFE Index of developed countries from Europe Australasia and the Far East, which excludes stocks from the U.S. and Canada

EMA – exponential moving average: applies an exponential weighting so that most recent data points in a series are given greater weight in the calculation of a moving average

ETF – exchange-traded fund: a group of stocks that often resemble a mutual fund in composition, but can be traded much like a stock during the trading day

ETN – exchange-traded note: similar in most respects to an ETF, except that ETNs are technically a debt security of the issuer

ETP – 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

FOMC – Federal Open Market Committee: plays a lead role in establishing U.S. monetary policy by setting target Fed Funds rates

Focus Foreign Growth Model Portfolio – 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.

Focus Growth 2 Model Portfolio – 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.

GVIX – Global Volatility Index: a VIX and More proprietary index which is derived from a weighted average of the implied volatility in options for equities in the 15 largest global economies

HV – 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

IV – implied volatility: a measure of estimated future volatility in the price of a security as derived from options prices

LW – last week

McClellan Summation Index – A running total of the difference between the 19-day and 39-day exponential moving averages of the net difference between the NYSE advancing issues minus declining issues (more)

NDX – ticker/abbreviation for the NASDAQ-100 Index: an index of the largest domestic and international non-financial securities listed on The NASDAQ based on market capitalization

Retro VIX – calculates a backward-looking "VIX" based on realized volatility in the SPX over the course of the last 21 trading sessions

RUT – ticker/abbreviation for the Russell 2000 Index: measures the performance of the small-cap segment of the U.S. equity universe

SMA – simple moving average: unweighted mean of a data series

SOTW – stock of the week

SPX – ticker/abbreviation for the Standard and Poor’s (S&P) 500 Index: de facto standard of U.S. equity indices for investors

SPX hv20– the 20-day historical (aka statistical, realized or actual) volatility for the SPX

USO – ticker for the U.S. Oil Fund, an ETF that tracks the movements of light, sweet crude oil, a.k.a. West Texas Intermediate

VIX Futures Contango Index – a VIX and More proprietary index that measures the degree of contango across the term structure of the full range of VIX futures. The index values range from 0-100, with 0 being extreme backwardation and 100 being extreme contango. A value of 50 would be considered typical and represents a slight contango in the VIX futures term structure.

VIX sma10 – 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

volatility crush – 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

vs. 10d/20d/50d/200d – current price relative to 10/20/50/200 day simple moving average

vs. LW – percentage change since last week (for non-holiday weeks, this is equal to current price relative to the 5 day simple moving average)

VXV – 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

VXX – ticker for the iPath S&P 500 VIX Short-Term Futures ETN, which targets VIX futures with one month to maturity

VXX roll yield – net differential between VIX front month futures and VIX second month futures

VXZ – ticker for the iPath S&P 500 VIX Mid-Term Futures ETN, which targets VIX futures with five months to maturity

XHB – ticker for the homebuilders sector SPDR, an ETF

XLF – ticker for the financial sector SPDR, an ETF

XLY – ticker for the consumer discretionary sector SPDR, an ETF

Subscriber Newsletter Features and Portfolio Performance Through November 2008

2008-12-07T10:12:00.001-08:00

Largely as a result of reader input, I continue to make enhancements to the subscriber newsletter. 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 VIX and More Global Volatility Index, the VXV, and a number of related indicators, such as moving averages in the VIX, historical volatility in the SPX, the VIX:VXV ratio, etc.

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.

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.

Some of the November features from the Wednesday edition included:

McClellan Oscillator Shows Strong Breadth Supporting the Bounce
Put to Call Ratios Suggest Bullish Reversal Soon
ETF Bottom Fishing Food for Thought
Top Performing Sector ETFs
Bullish Explosion in Spread Between VIX and 20 Day Historical Volatility in SPX
What’s Working? Put to Call Ratios and the VIX-SPX HV Spread
Credit Default Swaps and Sovereign Debt Problems
Double Tops in the VIX (excerpted on the blog as The Significance of Double Tops in the VIX)
VIX Term Structure: No End to a 45+ VIX?
Oil: An Alternative Scenario
Oil and Energy Stocks
Analysis of Weekday Performance in the Most Recent Bearish Leg
Outlook: More Opportunities Ahead for the Shorts
Short Timing Triggers Using RSI
Shorting with Direxion -300% ETFs
Extreme Implied Volatility and Bear Put Spread Opportunities
Implied Volatility and Corporate Themes
Cisco’s Guidance Is a Shot across the Bow for the Technology Sector

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:

If anyone has any additional questions about the subscriber newsletter, or is interested in reviewing a sample, please feel free to email me at bill.luby@gmail.com

Subscriber Newsletter Features and Portfolio Performance Through October 2008

2008-11-02T16:07:00.001-08:00

Thanks to reader input, the subscriber newsletter has undergone several enhancements during the past month.

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.

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.

Some of the October features included:

Sectors Most and Least Likely to Lead a Rally
Hedge Fund Selling and Capitulation
Bottoms and Price Discovery
A Simplified Approach for Bottoms and When to Buy
Combining the VIX and the TED Spread
Should You Go Long at Volatility Extremes? A Look at the Nikkei (excerpted on the blog as Should You Go Long at Volatility Extremes? A Look at the Nikkei 225)
VIX:VXV Ratio Waiting for Confirmation
How to Trade the VIX
VIX Bear Call Spreads
VIX Bull Put Spreads
Capturing Volatility in VIX Options: A Trade Idea
Beaten Up Large Caps on the Move
Some Oversold Stock Ideas Using the DeMarker Indicator
What the Big Boys Were Buying When the Market Rallied
The Lack of 52 Week Highs in the S&P 500 Index
Evaluating Prospects for a Housing Market Turnaround – Inventory
Evaluating Prospects for a Housing Market Turnaround - Affordability
Biotech and Health Care Stocks with Offensive and Defensive Potential
Recent Sector Weakness
Overbought and Oversold ETFs

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:

If anyone has any additional questions about the subscriber newsletter, or is interested in reviewing a sample, please feel free to email me at bill.luby@gmail.com

Subscriber Newsletter Features and Portfolio Performance through September 2008

2008-10-06T21:27:00.001-07:00

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:

An Overview of Capitulation
Using the Force Index to Measure Elements of Capitulation
Evaluating the Health of the Credit Markets
What Happens When the VIX Spikes Over 40
More on SPX Performance After VIX Spikes
VIX:VXV Ratio and VIX Futures
VXV Volatility as a Market Timing Signal
Putting Highs and Lows in Historical Perspective…and Looking Forward
Gold Miners Extremely Cheap Relative to the Commodity
SPX Has Now Pulled Back Over 50% From 2002-2007 Bull Move
A Conceptual Framework for Volatility Events
Event Volatility vs. Structural Volatility
The Rise of the Russian Bear
Extreme Stress in Asia, Particularly in South Korea

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:

If anyone has any additional questions about the subscriber newsletter, or is interested in reviewing a sample, please feel free to email me at bill.luby@gmail.com

Stock of the Week Cumulative Gain Now 102% Since Inception

2008-09-21T15:53:00.001-07:00

To update the post below, Stock of the Week Performance from 03/30/08 to 09/08/08, I thought it might be of interest to note that the cumulative gains in the Stock of the Week selection are now up to 102.1% since the March 30, 2008 inception.

Credit goes to a strong week from Aceto (ACET) for pushing the SOTW over the triple digit threshold.

Stock of the Week Performance from 03/30/08 to 09/08/08

2008-09-09T10:19:00.000-07:00

Lately I have received several questions about the Stock of the Week. 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.

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.

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%.

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.

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.

Subscriber Newsletter Features and Portfolio Performance through August 2008

2008-09-09T09:03:00.000-07:00

As promised, I will continue to use this space to summarize the recent content in the newsletter and update the performance of the model portfolios that I make available to newsletter subscribers. Since their March 30, 2008 launch, the (equities only, long only) portfolios have performed as follows:

*Note that the Focus Growth portfolio was retired on August 29th, largely because I was not satisfied with the recent bear market performance relative to the benchmark S&P 500 index. The new Focus Growth 2 portfolio uses an entirely different stock selection process that has consistently outperformed the S&P 500 in both bull and bear markets since I developed it approximately 3 ½ years ago.

In addition to the model portfolios, the subscriber 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 August features included:

A New Tool to Help Predict Bank Failures
Where Is the Safe Haven?
VIX and T-Bill Discount Rates
India VIX Reflects Elevated Anxiety
A Volatility-Based Long/Short Optionable ETF Trading System
What’s Working Right Now: the NASDAQ Arms Index
Current Thinking on Commodities vs. Equities Battle
Energy Sector and Commodity ETFs
Two Very Different Metals: Copper and Gold
Vulnerabilities Profile of Texas/Louisiana Oil and Gas Infrastructure
Thoughts on Energy Stocks for a Gulf of Mexico Hurricane
Tracking Hurricane Gustav
Bond VIX Indicates Relatively Low Turmoil
Bullish Readings from ISEE Equities Only Call to Put Ratio
The NASDAQ-100 and Resurgent Large Cap Technology
Strength at the Top of the NDX

Finally, I have also added a second subscriber service that I have made available only to newsletter subscribers: a volatility-based trading system that I use to identify both long and short trades on optionable ETFs. Additional information is available at the EVALS (ETF Volatility Analysis Long/Short) blog.

If anyone has any additional questions or comments about the subscriber newsletter, or is interested in a sample newsletter, please feel free to email me at bill.luby@gmail.com.

Subscriber Newsletter Features and Portfolio Performance through July 2008

2008-08-05T19:30:00.000-07:00

One of purposes of the subscriber newsletter 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. Since their March 30, 2008 launch, the four (equities only, long only) portfolios have performed as follows:

A Speculative VIX Options Play
A Weekday Perspective on the May to July Drop
A Bond VIX for Evaluating Risk in Financials
The Health of Corporate Bonds as a Market Indicator
An Early Glance at the OVX
Recent Sector Performance Trends (excerpted on the blog as Sector Performance in the Last Two Bull Moves)
Should the VIX Be Spiking Higher?
How About that VIX Spike?
Are VIX Spikes Good Long Entries?
Volatility Spikes and the 2002 Bottom
Volatility and the 1998 LCTM Crisis
A VIX:VXV Update
The VIX:VXV Ratio Continues to Impress
Q&A: Tweaking the PSAR for 60 Minute Bars
Annual Volatility and Market Performance
Technology Leadership Needed

If anyone has any additional questions or comments about the subscriber newsletter, or is interested in a sample newsletter, please feel free to email me at bill.luby@gmail.com

Subscriber Newsletter Portfolio Performance through June 2008

2008-06-30T22:44:00.000-07:00

One of purposes of the subscriber newsletters 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. Since their March 30, 2008 launch, the four (equities only, long only) portfolios have performed as follows:

In addition to the model portfolios, the subscriber newsletter includes 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 June features have included:

Lehman Brothers and the VIX
XLF Put to Call Ratios
One Enhancement to the VIX:VXV Ratio Indicator
Volatility and Options Expiration Week
VIX Implied Volatility Calculations
The ISEE Equities Only Index Is Bullish
Elevated QID Volume Levels Are Bullish
ETF Volume: A Broader Application of the QID Theme
ETF Volume in Financials and Other Sectors
NASDAQ McClellan Oscillator Update
Contrary Sentiment Analysis Revisited
Sector Rotation: Which Will Rebound, Oil or Financials?

If anyone has any additional questions or comments about the subscriber newsletter, please feel free to email me at bill.luby@gmail.com

Subscriber Newsletter Portfolio Performance through May

2008-06-01T17:27:00.000-07:00

As I hinted at yesterday in Portfolio A1 Performance Update: 5/31/08, PortfolioA1, which I updated here on a weekly basis from February 2007 through April 2008, has been tweaked and enhanced to create the VIX and More Focus Aggressive Trader Model Portfolio.

In fact, the subscriber newsletter has four model portfolios that I make available to newsletter subscribers. Since their March 30, 2008 launch, the four (equities only, long only) portfolios have performed as follows:

Focus Aggressive Trader: +16.93%
Focus Growth: +3.25%
Focus Foreign Growth: +9.75%
Stock of the Week Sequential Portfolio: +64.58%

Technology Leadership Is Bullish
New Picks from the Volatility-Based Sector Rotation Model
Interpreting the Recent Low VIX
An Expanded Look at the VIX:VXV Ratio
Measuring Complacency
ETF Reversal Swing Trader
Trading Oil with ETFs
Different Ways to Cross the 200 Day SMA
The Role of Speculation in Oil Prices
Oil, Energy, and Correlations

I continue to be pleased by the feedback from subscribers, which has included the following comments:

I really appreciate all your help and the thoughtful views you have of the market…It appears you have a knack for picking the stock of the week! -- PP, USA

You've blogged only rarely on the broader thrust of the newsletter. It comes off as applied VIX, or perhaps punches up the "..and More" part of "VIX and More". -- DK, USA

The newsletter is exactly what I am looking for. -- MD, Germany

I loved your Sunday edition. Congrats on the success of your picks. -- VH, USA

For more information on the subscriber newsletter contents, check out a blog that I have dedicated to the subscriber newsletter: VIX and More Subscriber Newsletter Blog.

If anyone has any additional questions or comments about the subscriber newsletter, please feel free to email me at bill.luby@gmail.com

Subscriber Newsletter Update

2008-05-11T13:13:00.000-07:00

I have received a number of questions about the subscriber newsletter and I thought this might be a good time to address them.

First, thanks to all who have subscribed. I have been extremely pleased by the response to date. I appreciate all the support and am particularly encouraged by the fact that so far the renewal rate has been 100%.

In terms of content, the Sunday format has already been standardized. The typical Sunday issue is six pages long and has the following sections:

The Week in Review – my thoughts on what constituted the important macroeconomic, fundamental, and technical news for the past week
The Week Ahead: What to Look For – includes suggestions on earnings to watch, important government data releases, critical technical support/resistance levels, etc.
Market Sentiment Update – a discussion of the readings and related implications from two of my proprietary sentiment indicators, the Options Sentiment Indicator (OSI) and the Aggregate Market Sentiment Indicator (AMSI). In some respects these two indicators are descendants of the VIX Weekly Sentiment Indicator (VWSI)
Asset Class Outlook – where I update my outlook over the short-term (1-3 weeks), intermediate-term (1-3 months), and long-term (6-12 months) time frames for ten important asset classes that cover US equities, foreign equities, bonds, currencies, and commodities
Current Investment Thesis – my take on what is driving the markets, in which direction, and why
VIX and More Focus Model Portfolios – three different model portfolios (Aggressive Trader, Growth, and Foreign Growth) consisting of 5-7 stocks each that have returns of +18.0%, -2.7%, and +2.1% since the March 30, 2008 inception
Stock of the Week – a single weekly stock selection that has a cumulative return of +48.5% since the initial March 30^th selection

The Wednesday issue is much more like the blog, but with a more detailed analysis and a place where I offer more in terms of conclusions and takeaways. It generally runs 4-6 pages and has three standard sections:

Market Commentary – updates my thinking as laid out on Sunday
Market Sentiment Update – similar to the Sunday section, but may drill down more on specific issues, such as volatility, put to call data, market breadth, volume, etc.
Volatility-Based Sector Rotation Model – one of my current research interests is using volatility to time trades on a variety of ETFs, including sectors, geographies, commodities, and currencies. This is not a model portfolio, per se, but I have been providing commentary on what the model is suggesting in terms of sector rotation strategies, what geographies to be long or short in, as well as plays in commodities and currencies

In addition to the three standard sections, Wednesday usually includes several feature sections where the subject matter varies from week to week. Some of the features from the past three issues include:

The VIX:VXV Ratio Continues to Perform Well
NYSE Total Volume Suggests Rally May Have Run Out of Steam
‘Stock of the Week’ Averages Up 5% in One Day
CBOE Equity Put to Call Ratio Remains Bullish (a shorter, updated version of this post went up on the blog a week later)
A Long-Term Look at the VIX and the VXN
Yield Curve Déjà Vu and Other Musings (a much shorter version of this post went up on the blog later)
Is the Fed Done Cutting Rates?
Market Breadth and Sustaining a Rally
Highs and Lows in the S&P 500 Index

If anyone has any additional questions or comments about the subscriber newsletter, please feel free to email me at bill.luby@gmail.com

Subscriber Newsletter to Launch Sunday 3/29/08

2008-03-27T22:12:00.000-07:00

After many requests to provide more details about my thinking vis-à-vis the markets in general and individual stocks in particular, I am launching a subscriber newsletter on Sunday, March 29, 2008. Given the recent market turmoil and the considerable uncertainty about the path forward, this seems like as good a time as any to take this step.

Targeting many subject areas covered by the blog, the newsletter will focus more on market sentiment analysis and technical analysis than on broad macroeconomic issues and stock fundamentals. In truth, my investing approach includes all four elements, but I think the macroeconomic and fundamental aspects of the market are covered quite thoroughly already, whereas good information on TA and particularly market sentiment tend to be much more difficult to find.

I am planning on a minimum of two issues per week, Sunday and Wednesday, as follows:

The Sunday issue will provide a review of the past week and my thinking on what to watch for in the coming week. I will include my outlook on a variety of asset classes and cover new purchases and sales in three different model portfolios (Aggressive Trader, Growth, and Foreign Growth), as well as a 'stock of the week' pick. I will likely tilt toward technical analysis, charts, and market sentiment analysis, but also cover macroeconomic and fundamental issues.
The Wednesday issue will be more of a features-based approach, but will consistently drill down on market sentiment, charts of interest, sectors and industries, and reader questions. Right off the bat, I will be rolling out a two new market sentiment indicators, which I will highlight on Sunday and Wednesday, but will likely get more attention on Wednesday. Whereas the format and content of Sunday's issue will be similar from week to week, Wednesday's issue is meant to be more free-form.
In addition to the Sunday and Wednesday issues, there may be occasional special issues as market conditions warrant.

Readers can subscribe using the buttons on the upper right hand corner of the blog. Pricing is $30/month (renews automatically) or $300/year (does not renew automatically).

I encourage feedback on any aspect of the newsletter. Feel free to e-mail me at bill.luby@gmail.com.