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# Category Archives: Volatility Modeling

## Portfolio Improvement for the Equity Investor

Equity investors and long-only portfolio managers are constantly on the lookout for ways to improve their portfolios, either by yield enhancement, or risk reduction. In the case of yield enhancement, the principal focus is on adding alpha to the portfolio … Continue reading

Posted in Portfolio Management, Risk Management, Volatility ETF Strategy, Volatility Modeling
Tagged Portfolio Improvement, Portfolio Management
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## Daytrading Volatility ETFs

As we have discussed before, there is no standard definition of high frequency trading. For some, trading more than once or twice a day constitutes high frequency, while others regard anything less than several hundred times a session as low, … Continue reading

Posted in Algorithmic Trading, High Frequency Trading, VIX Index, Volatility ETF Strategy, Volatility Modeling
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## Identifying Drivers of Trading Strategy Performance

Building a winning strategy, like the one in the e-Mini S&P500 futures described here is only half the challenge: it remains for the strategy architect to gain an understanding of the sources of strategy alpha, and risk. This means identifying … Continue reading

Posted in Econometrics, Machine Learning, Mean Reversion, Momentum, Performance Testing, Strategy Development, Systematic Strategies, Volatility Modeling
Tagged Mean Reversion, Momentum, Strategy Performance, Volatility
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## My Big Fat Greek Vacation – www.jonathankinlay.com

LEARNING TO TRUST A TRADING SYSTEM One of the most difficult decisions to make when running a systematic trading program is knowing when to override the system. During the early 2000’s when I was running the Caissa Capital fund, the … Continue reading

Posted in VIX Index, Volatility ETF Strategy, Volatility Modeling
Tagged ETF, VIX, Volatility
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## 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
Comments Off on Volatility ETF Strategy Finishes Strongly: +7.1% in Dec