This page is the daily operating view of the Hedged Equity 50/50 book. The portfolio holds two sleeves: (1) a passive S&P 500 exposure via SPY at 50% of NAV, and (2) a monthly put-spread sleeve on SPY at 50% of NAV that harvests the volatility risk premium. The SPY sleeve provides equity market participation; the put-spread sleeve adds diversifying premium capture that historically has near-zero correlation with equity returns. Sleeves are rebalanced annually to the 50/50 target.
Glossary → · VRP on Wikipedia · Vertical spread on Wikipedia
| Sleeve | Current value | Weight | Target | Unrealized P&L |
|---|---|---|---|---|
| SPY (passive equity) 1,677 shares @ $744.78 entry cost avg $745.15 | $1,248,996 | 50.0% | 50% | $-624 |
| VRP (put-spread) Cash + open spread margin. See section below. | $1,250,379 | 50.0% | 50% | — |
Annual rebalance on first business day of January, trigger threshold ±3pp drift from target. Current drift: -0.0pp.
Monthly first-business-day entry: sell 10-δ SPY put, buy 2-δ SPY put for tail hedge, hold to expiry (~30 calendar days). VIX regime filter: only enter when VIX ∈ [18, 30]. Dynamic drawdown-based sizing. Backtest 2015-2026: CAGR +3.0%, See the “Backtest results” section below for the full 11-year validation with per-window breakdown.
| Date | Type | Detail |
|---|---|---|
| 2026-07-04 | SPY_BUY |
⚠ Backtest data, not live performance. Historical replay of the current ship config against SPY + VIX from 2015-01-02 to 2025-12-31 using Black-Scholes pricing with a linear SPX skew adjustment. 46 monthly trades executed. Real deployment will differ: actual option fills come with wider bid/ask than the 20 bps we model, and empirical 2-δ IV likely runs above our linear-skew estimate — so live CAGR is expected to run modestly below the backtest figure.
Config: short 10-δ / long 2-δ, 30-day hold, VIX ∈ [18, 30], max loss 15% NAV, dd_factor 2.0
| Window | CAGR | Sharpe | Sh vs cash | Max DD | SPY CAGR | Excess vs SPY |
|---|---|---|---|---|---|---|
| 2015-2020 | +7.32% | 1.07 | +0.50 | -9.54% | +11.59% | -4.27 pp |
| 2020-2022 | +14.63% | 1.19 | +0.86 | -17.28% | +22.90% | -8.27 pp |
| 2022-2024 | +3.24% | 0.39 | -0.03 | -12.52% | +1.33% | +1.91 pp |
| 2024-2026 | +13.66% | 1.61 | +1.13 | -8.50% | +21.64% | -7.98 pp |
| 2015-2026 (11-yr) | +9.01% | 1.04 | +0.59 | -17.28% | +13.43% | -4.42 pp |
Current live readings vs the constraint targets above. Green = comfortably under target, amber = approaching, red = breached.
| Portfolio β (dollar-weighted) ⓘ | +0.0000 target |β| < 0.1 |
| Realized volatility (annualized) ⓘ | not enough history (0 returns) target 8% |
These limits define how the strategy is allowed to trade. Each row links to the finance concept on Wikipedia.
| Limit | Value | What it means |
|---|---|---|
| SPY sleeve target weight | 50% of NAV | Passive S&P 500 exposure via SPY. Rebalanced annually. |
| VRP sleeve target weight | 50% of NAV | Reserved for the put-spread strategy. Contracts sized against sleeve NAV. |
| Rebalance band | ±3pp drift | Trigger rebalance at first BD of year if either sleeve drifts beyond this band. |
| Short-leg delta | 10Δ put | Sell an out-of-the-money put with delta magnitude near this value. 10-δ is roughly 6-7% OTM at typical IV. |
| Long-leg delta (tail hedge) | 2Δ put | Buy a further OTM put to cap the tail loss. 2-δ is roughly 12% OTM. |
| Hold period | 30 calendar days | Enter monthly on first BD; close at intrinsic at expiry. |
| Max loss per trade | 15% NAV | Contract count sized so worst-case loss (spread width − net premium) at expiry ≤ this fraction of NAV. |
| DD sizing factor | 2.0 | Effective max-loss reduces linearly with running drawdown: effective = base × (1 − dd_factor × current_dd). Preserves capital in a slump. |
| VIX entry window | [18, 30] | Skip the month unless VIX is inside this window. Below the floor, premium is too small; above the ceiling, we'd be short vol into a crash. |
| Hard drawdown limit | 18% (auto-halt) | Portfolio-level circuit breaker — automatic entry halt beyond this DD. |
0 spread exits: +$0