Category Archives: Volatility Modeling

Alpha Extraction and Trading Under Different Market Regimes

Market Noise and Alpha Signals One of the perennial problems in designing trading systems is noise in the data, which can often drown out an alpha signal.  This is turn creates difficulties for a trading system that relies on reading the signal, … Continue reading

Posted in Alpha, Forecasting, Natural Gas Futures, Regime Shifts, Signal Processing, Systematic Strategies, Volatility Modeling | Leave a comment

How to Make Money in a Down Market

The popular VIX blog Vix and More evaluates the performance of the VIX ETFs (actually ETNs) and concludes that all of them lost money in 2015.  Yes, both long volatility and short volatility products lost money! Source:  Vix and More … Continue reading

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Volatility Strategies in 2015

2015 proved to be an extremely difficult year for volatility strategies generally. The reasons are not difficult to fathom: the sea-change in equity markets resulting from the Fed’s cessation of quantitative easing (for now) produced a no-less dramatic shift in … Continue reading

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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

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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

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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 , , , | Comments Off on Identifying Drivers of Trading Strategy Performance

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

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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

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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

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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

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