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