The first quarter of 2017 marked the end of These Dutch Guys‘ single model approach. Up until 6 March, our model White Chapel came in one form only (“any color so long as it is black”, as Henry Ford would have put it): one with a high risk, high reward profile. Everybody loves high rewards, but when it comes to the drawbacks that inevitably occur every once in a while, some of our followers found out that this is simply too much to swallow.
On 6 March, we said goodbye to our T-ford era, and expanded our model to four different models: Danny Daredevil (the original high risk, high return version), Adventurous Anny (a flavor of Danny Daredevil with a tad lower risk and return), Solid Suzy (a simple, purely momentum based model with an even lower risk and return), and Lazy Larry. The latter simply tracks the performance of the XIV ETN and is therefore the most basic of the four models. Our blogpost of 6 March 2017 (‘The Chapel Family’), as well as the model pages in the main menu, give insight into the intricacies and details of each of the models.
To state that Danny Daredevil had a slow start in 2017, would be something of a euphemism. Between 1 January and 7 February, the value of its portfolio decreased by 34%. Danny Daredevil is the only model of the four that trades UVXY. And UVXY has to faces: when your timing is perfect, it will show you its sweet, generous side. But when your timing is (slightly) off, it will bite you. The drawback of 34% was caused by two volatile trades that were not perfectly timed: the purchases of UVXY ETFs on 8 December 2016 and 10 January 2017. The volatility that the model saw coming, simply didn’t happen. But then three consecutive volatile trades smoothed out these drawbacks completely, and pushed Danny back into double-digit positive returns for the year. The 15 February – 17 March UVXY trade (gain of 4%), the 17-27 March UVXY trade (gain of 19.4%) and the trade of 29 March (still open, now at 4.3%). Q4 of 2016 ended on a high note, but Q1 of 2017 kicked it up a notch! The final result for Q1 of 2017 was a gain of 16.3%. This amounts to an average annual return for 2017 of 161%. It took Danny a while to regain his clear sight after the post-election turmoil, but once the dust started to settle, he picked up and showed us again in 2017 exactly where he excels: making profits by tactically repositioning his portfolio between phases of different volatility levels. His average annual return since the start (on 1 January 2016) is 244% at the close of Q1 2017. Below is the graph of Danny‘s performance in Q1 of 2017.
Adventurous Anny started live trading on 6 March 2017. Wary of volatile trades, she patiently waited for the first inverse trading signal to come, before leaving her cash position and purchasing XIV ETNs. Two profitable trades were made during Q1: the 9-17 March inverse trade made her 8.17%, and the 27-29 March inverse trade a staggering 12.6% in just two days, both trades resulting in a return of 22% since the start of her live trading. Below is the graph of Anny‘s performance in Q1 of 2017.
Solid Suzy also started live trading on 6 March 2017. She bought XIV on the first day of her live trading period, and with no trading signal for her to trade upon, she kept her position. Her return for Q1 is 9.5%.
Lazy Larry went up by 9.5% since his start date, just like Solid Suzy. As long as there is no trading signal for Suzy, Larry will move in line with Suzy. Below is the graph of Suzy‘s and Larry‘s performance in Q1 of 2017.
Since Anny, Suzy and Larry are just a couple of weeks old, calculating their average annual return over 2017 would result in unrealistically high numbers. Therefore, we will report on this, once their period of live trading is long enough for their averages to have stabilized.
US markets were mainly directionless throughout last Friday, but all major US indices closed in the red. The S&P 500 lost 0.23%, the Dow 0.31%. The NASDAQ was in positive territory almost all day, but slipped into negative territory during the dying seconds of Friday’s session (-0.04%). Volatility rose considerably, with the VIX adding more than 7%. UVXY ETFs gained 3.39% and the XIV ETNs lost almost 2%.
Danny Daredevil had another good day and his RSS stands at 369%. His average annual return is approaching 250%. Adventurous Anny is holding cash, so her RSS remained at 22% at the end of Friday’s session. Solid Suzy and Lazy Larry had to take a step back and their return since 6 March 2017 is just below 10%.
RSS = Return Since Start | YTD = Year-To-Date | QTD = Quarter-To-Date | AAR = Average Annual Return
View from René’s Forest Retreat