AllSeasonsPort @AllSeasonsPort: "𝗧𝗵𝗲 $SPX500 𝗵𝗮𝘀 𝗿𝗲𝗰𝗼𝘃𝗲𝗿𝗲𝗱 𝗳𝗿𝗼𝗺..."

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𝗧𝗵𝗲 $SPX500 𝗵𝗮𝘀 𝗿𝗲𝗰𝗼𝘃𝗲𝗿𝗲𝗱 𝗳𝗿𝗼𝗺 𝗹𝗮𝘀𝘁 𝘄𝗲𝗲𝗸’𝘀 𝘁𝘂𝗿𝗺𝗼𝗶𝗹, 𝗮𝗻𝗱 𝘁𝗵𝗲 𝗔𝗹𝗹 𝗦𝗲𝗮𝘀𝗼𝗻𝘀 𝗣𝗼𝗿𝘁𝗳𝗼𝗹𝗶𝗼 𝘁𝗼𝗼𝗸 𝗮𝗱𝘃𝗮𝗻𝘁𝗮𝗴𝗲 𝗼𝗳 𝘁𝗵𝗲 𝘃𝗼𝗹𝗮𝘁𝗶𝗹𝗶𝘁𝘆. While the S&P 500 index has not yet achieved a new all-time high (albeit this appears to be imminent), it has bounced back from the decline following the Japan jitters and the weak American PMI. Due to the volatility over this period, I have been unusually active in managing the All Seasons Portfolio to take advantage of the price movements. I find it appropriate to now spend a few minutes to summarize what has been done in the portfolio these last 10 trading days, for the benefit of copiers and potential new copiers to better be informed of the management. Let’s begin in chronological order. On the day of the drawdown (5 August), implied volatility of S&P 500 options (i.e., the VIX) spiked from about 23 at the previous close (already up from levels of less than 17 during the preceding week) to a daily high of nearly 66. While the front month VIX futures contracts for August and September moved a lot less (topping at 37 and 35, respectively), this event lead to a surge in the $VXX ETN which tracks a constant 30-day maturity of VIX futures. In two trading days, the price of VXX rose from USD 46 to USD 90. As we use this ETN in our portfolio as a hedge against volatility, we took advantage of this positive movement by closing out almost all our VXX long positions at prices between USD 77 and USD 86 during 5 August, generating a good profit. A small exposure was left open in case the market turmoil would continue with even higher volatility over the week. These last positions were closed already on 6 and 8 August when volatility quickly started to come down. The price achieved on that sell trade were USD 76 and USD 65. We currently have no VXX exposure, albeit find that there is soon an opportunity to buy in again, as the VIX has already reached its normal level of 15. During 5 and 6 August, we used parts of the VXX proceeds to go long assets that had declined. Namely, we added long positions in $BTC, $VUG and $MTUM assets. All of these have been successful to date, as the stock ETFs are up more than 7%, while the Bitcoin trade is up 11.5%, at the time of writing. A long position was also put on in $ETH, but this is trading flat since the purchase. Taking further advantage of the rapid decline of the VIX indicator, we went short volatility on 8 August by going long $SVXY ETF. As there was still a lot of uncertainty in the market, the position sizing was quite small to manage the risk, but ended up adding some returns anyway when we closed the position on 12 August at a profit of 6.9%. Unrelated to the volatility spike, we have been deploying some of the cash balance to positions where we have been underweight (e.g. $TIP, $KRBN and $VXUS). We still need to buy more into commodities and $DJP but will wait for better trend signals before rebalancing into that position. We have also closed out our long USD positions ($UUP) as we deem this will not add as much risk-adjusted value in a rate cutting cycle. Moreover, as mentioned, we will soon begin to add to the VXX insurance scheme, but expect not the achieve the long-term aimed allocation due to the unfavourable term structure of VIX futures contracts due to the upcoming US elections, which would cause a decay of the position as the front month contracts are rolled within the ETN. I hope you found this brief update useful, and I thank you for your attention. Warm regards, Nicholas

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