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# Category Archives: Volatility Modeling

## The Case for Volatility as an Asset Class

Volatility as an asset class has grown up over the fifteen years since I started my first volatility arbitrage fund in 2000. Caissa Capital grew to about $400m in assets before I moved on, while several of its rivals have … Continue reading

Posted in Hedge Funds, VIX Index, Volatility ETF Strategy, Volatility Modeling
Tagged Hedge Funds, Volatility
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## Volatility ETF Strategy Apr 2015: +4.41% YTD: +12.02% Sharpe: 3.02 YTD

HIGHLIGHTS 2015 YTD: + 12.02% CAGR over 40% Sharpe ratio in excess of 3 Max drawdown -13.40% Liquid, exchange-traded ETF assets Fully automated, algorithmic execution Monthly portfolio turnover Managed accounts with daily MTM Minimum investment $250,000 Fee structure 2%/20% STRATEGY … Continue reading

Posted in Algorithmic Trading, ETFs, VIX Index, Volatility ETF Strategy, Volatility Modeling
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## Volatility ETF Strategy March 2015: +2.04%

HIGHLIGHTS 2015 YTD: + 7.29% CAGR over 40% Sharpe ratio in excess of 3 Max drawdown -13.40% Liquid, exchange-traded ETF assets Fully automated, algorithmic execution Monthly portfolio turnover Managed accounts with daily MTM Minimum investment $250,000 Fee structure 2%/20% … Continue reading

Posted in VIX Index, Volatility ETF Strategy, Volatility Modeling
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## Combining Momentum and Mean Reversion Strategies

The Fama-French World For many years now the “gold standard” in factor models has been the 1996 Fama-French 3-factor model: Here r is the portfolio’s expected rate of return, Rf is the risk-free return rate, and Km is the return of the market portfolio. … Continue reading

Posted in Factor Models, Mean Reversion, Momentum, VIX Index, Volatility Modeling
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## Volatility ETF Strategy Opens 2015 with 1.95% Gain

HIGHLIGHTS CAGR over 40% Sharpe ratio in excess of 3 Max drawdown -13.40% Liquid, exchange-traded ETF assets Fully automated, algorithmic execution Monthly portfolio turnover Managed accounts with daily MTM Minimum investment $250,000 Fee structure 2%/20% STRATEGY DESCRIPTION The Systematic Strategies … Continue reading

Posted in Systematic Strategies, VIX Index, Volatility ETF Strategy, Volatility Modeling
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## Volatility ETF Strategy Finishes Strongly: +7.1% in Dec

HIGHLIGHTS CAGR over 41% Sharpe ratio in excess of 3 Max drawdown -13.40% Liquid, exchange-traded ETF assets Fully automated, algorithmic execution Monthly portfolio turnover Managed accounts with daily MTM Minimum investment $250,000 Fee structure 2%/20% STRATEGY DESCRIPTION The Systematic Strategies … Continue reading

Posted in Systematic Strategies, VIX Index, Volatility ETF Strategy, Volatility Modeling
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## Volatility ETF Strategy – Nov 2014 Update: +1.42%

HIGHLIGHTS CAGR over 39% annually Sharpe ratio in excess of 3 Max drawdown -13.40% Liquid, exchange-traded ETF assets Fully automated, algorithmic execution Monthly portfolio turnover Managed accounts with daily MTM Minimum investment $250,000 Fee structure 2%/20% VALUE OF $1,000 … Continue reading

Posted in Uncategorized, VIX Index, Volatility ETF Strategy, Volatility Modeling
Tagged ETF, Performance, VIX, Volatility
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## A Calendar Spread Strategy in VIX Futures

I have been working on developing some high frequency spread strategies using Trading Technologies’ Algo Strategy Engine, which is extremely impressive (more on this in a later post). I decided to take a time out to experiment with a slower … Continue reading

Posted in Algo Design Language, Algo Strategy Engine, Futures, Spread Trading, TradeStation, Trading Technologies, VIX Index, Volatility Modeling
Tagged ADL, ASE, Calendar, Calendar Spreads, Futures, Spread, Tradestation, TT
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## Volatility ETF Strategy – Sept 2014 Update

HIGHLIGHTS CAGR over 40% annually Sharpe ratio in excess of 3 Max drawdown -4.3% Liquid, exchange-traded ETF assets Fully automated, algorithmic execution Monthly portfolio turnover Managed accounts with daily MTM Minimum investment $250,000 Fee structure 2%/20% VALUE OF $1,000 2012-2014 … Continue reading

Posted in ETFs, VIX Index, Volatility ETF Strategy, Volatility Modeling
Tagged ETFs, Performance, VIX, Volatility
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## Not the Market Top

Our most reliable market timing indicator is a system that “trades” the CBOE VIX Index, a measure of option volatility in the S&P500 Index. While the VIX index itself is not tradable, the system provides a signal that can be … Continue reading

Posted in Market Timing, VIX Index, Volatility Modeling
Tagged Market Timing, Market Top, VIX, Volatility
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