Vega’s FY18 backtest

Reviewing Vega’s performance over FY18 and the February correction.

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From: Scott Shuttleworth

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For some time I’ve been meaning to update Vega’s backtest history to include that of FY18. Notably, this period included the February correction. The below table shows the returns over that period as well as our live results from the 9th of April onwards.

For those reading in your email browser, please select 'view pictures' to see the below.

As we’ve spoken about on the blog before, whilst the economy is strong, Vega will be long market exposure. This means that whenever there is a bull market correction (say of 10 per cent), The Fund also corrects. February 2018 (or even October 2018) was no exception.

Since the correction was modest (10 per cent from peak to trough) Vega took profit on some hedges, optimised its core positions where appropriate and continued to operate as per normal, taking a longer-term view of the markets/economy and holding risk which would pay off from this view.

As the market recovers, such actions tend to generate outperformance as we can see below.

Similarly, this is what The Fund has tried to do over October (although it's too early to say whether we're out of the woods yet).

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