Our Monday night newsletter is up at: http://bit.ly/cvOBAf.
Of particular interest given the current environment of systematic multi-market managers making new highs while option selling managers struggle with drawdowns for the first time since 2008 is the following paragraph:
It is interesting to note the contrast between the long volatility programs with their long drawdown/short recovery profile, and option selling programs with their short volatility profile which results in a short drawdown/long recovery type cycle. We ran the same analysis on the popular option selling FCI program, and found that their average drawdown period lasted just 3.5 months, while their average recovery lasted 9 months (or about 3 times the DD duration). Contrast that with Clarke Capital’s Worldwide program seeing an average DD duration of 19 months and average recovery of 7 months (about 1/3 of the DD time) and the differences between these two strategies really becomes clear.
And of course, there are some interesting graphs as always (Past Performance is Not Necessarily Indicative of Future Results)