Thursday, January 16, 2014

DITM Recap 2013



As mentioned before in this blog, after 4 years of  11% average returns in my small IRA - the microcosm of the DITM strategy, 2013 finally hit stall speed; partly because the steady rise of the market killed Implied Volatility (IV), rendering the VIX @ 13-14, and partly because my stock selection happened to be premature - going into Energy, Chemicals, and gold.

Here is the non-GAAP best-efforts analysis of the round trip trades closed out in 2013:
First the winners - 20 total, averaging 12.70% with an average 5.1 month duration.
Losing trades were only 3, but which amounted to over 40% of the winners, since losses are usually quite a bit larger by the time they are under water and decided upon.

Since it is difficult to arrive at a profit/loss since the same money is used for more than 1 position during the year, the annualized percent of 7.16% is based on the net profit. Hopefully 2014 will be an improvement, especially of there is a substantial correction, which is hedged against, raising the Volatility and premium of the sold Call options, as well as the 3%+ dividends from the underlying. Hopefully the commodity sector will rebound this year as well.

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