Tag: VIX

  • Hedging an equity portfolio: Volatility

    | | Strategy

    We opined in our last article that “Traditional Hedges Suck” that most traditional hedges had significant weaknesses and did not have many characteristics of a great hedge.  Volatility (long positions in VIX futures), while not perfect, has a number of these favorable characteristics for hedging an equity portfolio. The characteristics of a great equity hedge are three-fold: Makes more money in down markets that it loses in up markets; therefore, the hedge improves the risk adjusted returns of the portfolio. If the risk adjusted return is improved, the investor can either have less risk on the same investment size OR … Read more Hedging an equity portfolio: Volatility
  • Commodity Trading Advisors (CTAs) in Perspective

    | | Commodity Trading Advisor

    The following is a guest post from Spring Valley Asset Management: Disclaimer: While an investment in managed futures can help enhance returns and reduce risk, it can also do just the opposite and in fact result in further losses in a portfolio. In addition, studies conducted of managed futures as a whole may not be indicative of the performance of any individual CTA. The results of studies conducted in the past may not be indicative of current time periods.   Commodity Trading Advisors (CTAs) are a class of hedge funds that trade primarily in liquid global futures markets. These include currencies, … Read more Commodity Trading Advisors (CTAs) in Perspective
  • Downside Analysis to the Next Level – Look at Partial Moments for an Edge

    | | Financial Risk

    A close look at the VIX index shows a very skewed distribution as low levels push against a barrier. There is more risk that the VIX will rise versus fall. The same can be said for many other asset prices.  Normality is out; non-normality with respect to distributions is in. The value of looking beyond standard deviation is all the more important in the current environment … Read more Downside Analysis to the Next Level – Look at Partial Moments for an Edge
  • VVIX vs. VIX – Is something Wrong Here?

    | | Volatility

    The VIX index is an effective measure of volatility expectations. The CBOE VVIX index measures the volatility of volatility for the VIX. If the volatility of volatility is increasing, there should be the expectation that volatility itself should also be increasing. We are seeing that the ratio of the VVIX to VIX is at high levels. Granted the VVIX index is off from recent highs, but the VIX index has continued to move lower even with the heightened policy uncertainty we have discussed in the past with our post on the one chart to look at for the new year … Read more VVIX vs. VIX – Is something Wrong Here?
  • August Calm Gives Way to Limited Opportunities for Managed Futures

    | | Investment Strategies

    September came and went with a relative whimper. It was our view that various key macro events scheduled throughout the month coupled with uncertainty over monetary policy, had the potential to produce significant moves across global markets. As it turned out..with the exception of the commodities sector…this was not the case. U.S. equities ended the month flat (+0.02%), however turned in a good quarter with the S&P 500 returning 3.8%, bringing gains for the year to a +7.8%. Once again with all eyes and ears tuned to central banks..policy uncertainty had a virtual choke hold on markets, and as a … Read more August Calm Gives Way to Limited Opportunities for Managed Futures