Tuesday, December 2, 2014

My trading performance in a hedge fund

My trading in Eganov Asset Management Stocks & Derivatives Strategies S.P.  hedge fund started 15 May, current return is 21.4%, maximum drawdown was 6.2% (out of 15% drawdown allowed).

I trade option strategies using my proprietary option pricer:
- far-out-of-money calls buying when market is down;
- far-out-of-money calls premia gathering when market is recovered;
- time decay gathering using put diagonal ratio spreads.

Option instruments: SPX contracts.

Since my option position delta is usually positive, I hold a position in Treasuries using TLT (iShares Barclays 20+ Yr Treas.Bond ETF) as a "cheap delta-hedge".

1 comment:

  1. Sound good. I guess TLT did most of the heavy lifting this year, Selling IV on SPY was not a good strategy this year in general I think. Be careful because once the SPY TLT relation might break (as it did in 2013) and it will be painful.