Category Archives: Volatility Modeling

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

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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

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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

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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

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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

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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

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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

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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

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Volatility Strategy +15.19% in August: Here’s How

WHERE VOLATILITY THRIVES Mark Gilbert has written extensively in BloombergView about the demise of volatility across asset classes and what this may portend for markets (see Volatility Dies, Hedge Funds Lose).  As Mark and other commentators have pointed out, the … Continue reading

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Enhancing Mutual Fund Returns With Market Timing

Summary In this article, I will apply market timing techniques to several popular mutual funds. The market timing approach produces annual rates of return that are 3% to 7% higher, with lower risk, than an equivalent buy and hold mutual … Continue reading

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