August 2016 Investor Report

Posted on September 16th, 2016

August Market Performance

August of 2016 was entirely a month of the summer doldrums. Despite various uncertainties surrounding when the Fed, the Brexit, and the Presidential election, August managed to take the prize as the flattest month this year so far. The S&P 500 closed with barely any change for the month, finishing just over a tenth of a percent down, and moved in a total range of only 1.68% from the beginning to the end of August.

What little event driven movement that did occur during the month was driven by speculation on the timing of the expected Fed interest rate hike. The release of the minutes for the Fed’s July meeting on August 17th, and the Fed’s Monetary Policy Symposium on August 26th both spurred interest and saw an increase of intraday volatility, but in the end both events offered little information to investors and failed to move the market any appreciable distance.

Lockbox Fund Performance and Strategy

Since our strategy profits from volatility value, a low volatility environment as we saw in August is a difficult trading time for us. Our ability to generate cash flow from the S&P 500 index was hampered. Since our positions are all relatively short term, we were able to easily liquidate our positions on the S&P 500 and redeploy deploy our strategy on the Russell 2000 small cap index. The Russell 2000 index is seen as more volatile than the S&P 500, and therefore has a different risk profile we had to take into account.

This difference made the Russell 2000 index better suited to generating profit in the slow market environment that has plagued us since mid July; and switching our strategy to use this index has enabled us to maintain a consistent cash flow and positive returns. We expect the Russell 2000 index to be a superior vehicle for our investment strategy at least until the end of October when the events surrounding the Presidential Election kick into higher gear.

August S&P 500 Monthly Return: -0.12%
August S&P 500 YTD Return: 6.21%
August Lockbox Monthly Return After Fees*: Please Contact Us
August Lockbox YTD Return After Fees*: Please Contact Us