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Compare XIV vs. Volatility Strategies


sorry, those questions are important to me. because this is just 2013 all over again. to me its important to know the benchmark and compare different strategies against its peers.

if SPY is up 25%, why would i pay $2k in fee to make 20% and net 10% in the end.
If SPY is up 25% with a DD of 10%, why would i invest in a strategy to make 13% with a DD of 5%.

yes, back testing is meaning less, but it shows me which strategy have a higher up capture and a lower down capture.

If SPY is up 25% and DD is 10%, and a strategy captures 20% of the upside but only had 4% of the DD then i know that strategy is performing above its peers and worth the “fee”. I’m not strictly looking at this as performance or DD base only.

in regarding TOS or Not, that is just a behavioral tracking i keep track for my self in regarding how each of manager behaves during big gains and big loss. so i wont have the same manager behavior over lap. I don’t want all my manager to be DD adverse, exit positions when there is a pullback, but i don’t want all my manager to also ride thru every correction. i like some of the manager who will let winner run, but some managers take profits early. so i tend to have half of my c2 strategy TOS and half of it not TOS. and overtime, it does make a difference. because i see the tendency of non TOS strategy tend to do really well first 6 months, then everything tapers off. they become DD adverse, and gains no longer their primary goal. they end up focus mainly on risk management and not to lose subscribers. TOS manager tend to show me little more consistency on gains, as gain from their account usually greater than what they make from c2 subs.

i’m just trying to diversify between the 8-9 c2 strategy i use, and make sure i don’t have management style overlap.


How did you define “popular” VIX related strategies for your chart? Did you cherry pick your inclusions?


I cherry picked my own strategy. The others I believe I sorted for the most popular on the grid based on six weeks popularity and they had to be as long or longer of a track record as my own so as to not decrease the time frame even further. I sorted those a couple weeks ago though so it may have changed. If you have a group you want to do I made the code available on explorer you just have to go in and change the ID’s and the names so the code knows what strategies you want to compare.


I made this quick video to show how I make these graphs. I have mentioned how in comments before but I know videos can be much better for people that are not familiar. I many times I get messages about why you didn’t include my graph or can you include these. I have no problem helping out and doing graphs for people but if people want to compare other strategies than the ones I have this video will show them how. Also, here is the TOS graph we were talking about. Keep in mind there is more than just the graph. Some strategies hedge, other do not, some have overnight risk, others do not, some use margin, others do not, etc. These graphs are not the whole story. Just good tools to help you find the type of strategy you want.


I saved a query that compares systems to a high-beta SPY proxy that is less accurate but has fewer gaps than the ETFs and indices.


Interesting movements by many of us in the last few days.


Any way to add XIV Timer back onto your chart? It’s performed pretty well on a relative basis. Thanks.


Certainly, that video I posted just a bit farther up in the thread shows how you can add it and then just take a screenshot and repost it in the thread.


Sorry I just had my phone last night. I took mine off and added yours to this graph so the time scale changed since mine was the youngest on there. I am not sure which one is the youngest now, but again if you watch that video you can go back and edit it all to how you want it.


@C_J_ there it is with both of ours on there. You have done very well.


Great chart. Thanks!!!


so holding XIV still out perform everyone else. i hate there is so many shades of blue/teal. maybe im just color blind.


I’m betting with todays drop, some XIV strategies are beating buy & hold?


Not mine unfortunately.


We appreciate your honesty & willingness to point that out Charles, it speaks volumes about your character. You have some very good strategies & over time you will undoubtedly make your subs a lot of $. Maybe as important, they know they will be able to trust you when they read posts like these.


I will definitely give an updated chart once the database catches up with these massive moves. As you can see the database is a bit behind


Actually, you should probably wait until tomorrow because the XIV closed WAY above its NAV and then dropped another 56% sfter the Monday close.


XIV down 70% at $35…


i doubt there is any strategy still alive if they were hold $xiv today thru closing. which i doubt. $SVXY was halted, and $xiv is at or close to termination event.


Do we know how many short vol strategies have died today?
And what is very sad, how many people will realize all of a sudden that they might OWN money to their broker? Margin is very dangerous.