TrendExhaustion Credit Spread Options
Just launched in September, 2012, the Credit Spread Options strategy performance calculations assume an equal weighting across all Credit Spread Option trade alerts. When we’ve closed out the options month, we’ll update the performance stats here.
| Expiry Month | # Trades | Avg. RoR* | Win % | Avg. Winner RoR* | Avg. Loser RoR* |
| Apr 2013 | 110 | -6.7% | 67.3% | 9.9% | -40.8% |
| Mar 2013 | 187 | 4.1% | 86.1% | 9.6% | -30.3% |
| Feb 2013 | 75 | 2.0% | 88.0% | 9.4% | -52.4% |
| Jan 2013 | 83 | 4.2% | 91.6% | 8.8% | -45.4% |
| Dec 2012 | 262 | 1.1% | 82.4% | 10.1% | -41.2% |
| Nov 2012 | 154 | -2.2% | 69.5% | 9.5% | -29.0% |
| Oct 2012 | 87 | 3.2% | 88.5% | 9.4% | -44.5% |
* RoR: Return on Risk
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TrendExhaustion Market Neutral Stocks
The Market Neutral strategy has been fully invested since November 7th, 2011, but has been backtested since 2007. The historical performance table is below, followed by combined (backtested & live) portfolio’s statistics, net of transaction costs ($3/trade + bid/ask slippage).
Learn more about the TrendExhaustion Market Neutral Stock Strategy
| 1 Month | 3 Month | YTD | 1 Year | 3 Year | 5 Year | Since Inception | |
| TE MN | 6.79% | 7.90% | 8.40% | 4.62% | 46.4% | 264% | 524% | S&P 500 | 2.33% | 6.05% | 12.6% | 14.8% | 36.8% | 15.2% | 14.5% |
As of Market Close on 4/30/13. Inception Date 1/1/2007
Total Annualized Return To-Date: 33.5%
Average Daily Return: 0.12%
Daily Return Standard Deviation: 0.94%
Annualized Return Std. Dev.: 15.1%
Daily Return Downside Std. Dev.: 0.47%
Daily Return Upside Std. Dev.: 0.68%
% Winning Days: 53.1%
Annualized Sortino Ratio: 4.50
Annualized Treynor Ratio: -6.37
Beta (Market Correlation): -0.05
Best Day: 7.0% (Oct. 9, 2008)
Worst Day: -3.4% (Oct. 13, 2008)
Max Drawdown: -10.3% (Jul. 17, 2007)