Market Evolution Fund Delivers a Record 81.04% Two Year Return

John Manley – Portfolio Manager for the Market Evolution Fund is pleased to announce an 81.04%  portfolio return for the period covering Jan. 2015 to Dec. 2016. This sets a new 2 year record. Capital at risk (trading) returns were 112.50%. By comparison, the benchmark S&P 500 returned 13.49% over the same time period. From 2005 (inception) to 2014 the fund has delivered average annual returns of 36%.

Performance Report

performance-2016* Reports produced by Interactive Broker’s internal audit program – Portfolio Analyst.

The fund utilizes an adaptive market neutral approach that trades unbalanced butterfly spreads on S&P 500 with SPX index options. The strategy mandate produces returns that are absolute and uncorrelated to the underlying S&P 500 index with far superior risk metrics. The fund is not dependent on rising asset prices to produce returns and benefits from 3 distinct profit centers – time, price and volatility.

Risk & Performance Report



Speaking: The All-Stars of Options Trading Event

Big thanks to the Toronto Stock Exchange and the Montreal Derivatives Exchange for inviting me to speak at such a great event! Thoroughly enjoyed presenting to such an engaged and enthusiastic audience.



Personal Performance 2015: Adaptive Market Neutral Returns +53.34% vs -0.70% for the Benchmark S&P 500

Although the S&P 500 closed relatively flat on the year, it was one of the most volatile on record. Despite the out-sized gyrations, the Adaptive Market Neutral  strategy proved itself once again – showing a +53.34% gain on the year.

Not only did this approach deliver solid alpha throughout the year, it did so with substantially less risk than the overall markets (see risk comparison chart)

2015 Performance vs. the S&P 500

2015 Performance


Risk Measures Comparison Chart

Risk Measures







Performance Update: Market Evolution Fund returns 32.19% vs a 6.47% gain for the S&P 500 – 1st half of 2014.

For the 1st six months of the year the Market Evolution Fund showed a total gain of 32.19% vs a 6.47% gain in the S&P 500.

Cumulative Performance (Jan. 01 to Jun. 30 2014)

Cumulative Return 6 months

Risk Measures

DN - Risk Measures June 30


This is a private fund and not open to the public. This notice is for informational purposes only.

Market Evolution Fund – Managed Accounts Deliver a Record 100.24% Return Over 3 Months.

The Market Evolution Fund – Managed Accounts complete the 3rd quarter of 2013 with a record 100.24% return. This was accomplished trading adaptive option spreads on Apple (AAPL).  The fund employs adaptive option spreads on U.S. equity indexes and very liquid blue chip stocks. The strategies seek to capitalize on changes in volatility, price and time.

Risk & Performance Audit Report


Performance Report


This is a private fund and not open to the public. This notice is for informational purposes only.

Market Evolution Fund Posts a Record 48.36% Twelve Month Return.

The Market Evolution Fund completes another 12 months with a 48.36% return vs. a 5.48% return for the S&P500 over the same time period (Dec. 2010 to Nov. 30 2011). The fund is showing a 137. 26% return over the last 3 years & 11 months vs. a negative  – 15.08% return for the S&P 500. Volatility arbitrage strategies were key drivers for profits as panicked investors drove up near term volatility readings this year. (See pics – click for larger image)

Pic One – Master Feeder Account.

2011 Performance

Cover Article Re-release.

In May of 2009 I was honored to be featured on the cover of Technical Analysis of Stocks & Commodities magazine for a hedged portfolio strategy I developed during the financial crisis of 2008. The portfolio performed very well in highly volatile market conditions. Since we are experiencing much of the same conditions today in the financial markets, I am releasing the article to investors for a limited time. Enjoy!

John Manley Stocks & Commodities Magazine May 2009

Performance Update: Market Evolution Fund Posts Record Returns While Markets Suffer Worst Decline in Years.

The Market Evolution Fund jumped to new all time highs scoring a 7.68% positive return for the month of September while the broad market (S&P500) suffered a – 7.18%  loss for the same time period.

Year-to-date, the Market Evolution Fund is up 28% (to Sept. 30) vs. a -8.71% loss in the S&P500.

Master feeder account performance statements.

*All returns fully audited. This is a private fund and not open to the public.

Volatility Arbitrage Strategy Returns 67.5% over 2.5 Weeks on Euro Crisis.

Panicked market participants helped set the stage for a lucrative volatility arbitrage strategy on the S&P500 through the SPY. The play was mostly Delta neutral and profited on the decline of very expensive front month implied volatility and time. Back end Vega was hedged by a separate Dual Ratio Spread.

Duration of the play was 2.5 weeks and returned 67.5% on risk capital. P&L per each managed account.

Model Diagram

Market Evolution Fund Celebrates its 6th Anniversary with a 227% Total Return.

As of Sept. 07, 2011 the Market Evolution Fund is showing a 227.1% total return over a 6 year period vs. a 7.8% return for the S&P500 covering the same time frame. Year to date the Fund is up 18.34% vs a -3.45% decline in the S&P500.

* This post is for informational purposes only and is not a solicitation of any kind. This is a private fund and not open to the public.