It’s time for an October wrap-up the day after the biggest candy eating day of the year.
Both statistical and implied volatility remained low, as it has been in the past few months. In fact, as I reported last month, volatility is about as low as it’s been in the past five years. This isn’t a bad thing, and in fact has been mostly good for that long buy-and-hold part of your portfolio, but it’s not the greatest for our trading system.
The MS8 system used to guide the Covestor models thrives on volatility, so when its slow, we don’t necessarily lose money, but it’s also not very active. October had a nice little bump in volatility starting around the 19th, and in fact about 2/3 of our trades took place just after this. Aside from that it was still pretty quiet.
Our overall exposure was about as low as I have seen, at just 9.35% (meaning that’s how much time we had cash in the market).
Low volatility means fewer trades. The average return per trade and win ratio was just about typical for the system, so we just needed some more trips to the plate. As I said last month, we could really use some volatility!
Certain of the information contained in this presentation is based upon forward-looking statements, information and opinions, including descriptions of anticipated market changes and expectations of future activity. The manager believes that such statements, information, and opinions are based upon reasonable estimates and assumptions. However, forward-looking statements, information and opinions are inherently uncertain and actual events or results may differ materially from those reflected in the forward-looking statements. Therefore, undue reliance should not be placed on such forward-looking statements, information and opinions.
