August marked the first down-month of SAVIN returning -6.3%. Bringing our year-to-date return 2021 to +19.5%.
Primary cause of our August return was a widening of spreads in our single-stock volatility strategies. These strategies have a holding period of 3 to 12 months, during which the returns we capture tend to ebb and flow until the date of expiration. Typically uncorrelated with general market moves, last month a number of positions moved against us in concert.
We have seen negative P&L moves more often, but in those months the portfolio recovered before month end. At the moment we are willing to accept this higher return volatility, given the attractive return potential. Our overall down-side market hedge remains firmly in place and we are well positioned for shifts in volatility and market dislocations. Aiming for outperformance and uncorrelated returns in more volatile climates.
In retrospect, some trades could have been timed better. We look forward to capitalizing on the new opportunities accrued during the month.
We hope you have enjoyed summer and we are looking forward to the final stretch of the year.
If you have questions or would like to discuss, drop by the office or call us anytime.