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April 01, 2012 at 16:32 PM EDT
EVALS Update and a Look Under the Hood

I have fielded so many questions about EVALS that I finally decided to put up a summary post that discusses various aspects of the mechanics of the EVALS model portfolio as well as some performance data. In EVALS Q1 2012 Update, I address such issues as monthly returns, maximum drawdown, trading frequency, average holding period, correlation with the SPX, etc. for the first 4 ½ months since inception.

For those seeing more comprehensive information, EVALS Relaunches, Now Focusing on VIX Exchange-Traded Products might also be of interest. Readers who wish to see a graphic that explains the differences between the content in this blog, in the newsletter and in EVALS are encouraged to review the content pyramid in Five Years of VIX and More.

Finally, in the event that anyone needs a more provocative teaser to visit the EVALS blog, I will disclose that there you will find some information relating to the 52.60% return in EVALS in the 4 ½ months since the November 17, 2011 launch.

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Disclosure(s): none

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