November took a page from the now familiar playbook of 2019 and domestic equities, once again riding a renewed wave of enthusiasm over potential trade war resolution, both rallied and tapped new all-time highs.
The S&P 500 Index Total Return finished the month +3.63% while fixed income remained mostly flat as rates rose a little bit especially across the front end of the curve. The Bloomberg Barclays US Aggregate Total Return Index finished the month mostly flat at -.05%.
Inside the Trilogy Alternative Return Fund, equities rose in tandem with broad equity indices but didn't keep pace. Sectors like technology led the way while utilities were a drag on the fund for the month.
Our S&P 500-based collar, which serves to help mitigate losses during prolonged drawdowns in equity markets, also weighed on the fund due to the upward move in equities. The contribution effect of this portion of the fund was +.06%.
The option income portion of the fund had negative performance for the month as the significant move higher in equities hurt options that we had sold for the month and our fixed income was roughly flat. The contribution effect of this portion of the fund was -.58%.
The bright spot for the month was our market movement portion of the fund where the continued trend higher helped the long portion of this strategy. The risk-mitigating put spreads employed in this portion of the fund were a drag given the market’s move upward but were more than offset by the gains in our long positions. The contribution effect of this portion of the fund was +.52%.
To view the most recent performance for the Stadion Trilogy Alternative Return Fund, click here.
The S&P 500 Index is the Standard & Poor’s Composite Index of 500 stocks and is a widely recognized, unmanaged index of common stock prices.
The Bloomberg Barclays Global Aggregate Bond Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers.
A collar is an option strategy that limits the range of possible positive or negative returns on an underlying security to a specific range.
A long (or long position, AKA exposure) is the buying of a security such as a stock, commodity or currency with the expectation that the asset will rise in value.
A put spread is an option spread strategy that is created when equal number of put options are bought and sold simultaneously.
One cannot invest directly in an index.
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