Tag Archives: Skewness

What Wealth Managers and Family Offices Need to Understand About Alternative Investing

The most recent Morningstar survey provides an interesting snapshot of the state of the alternatives market.  In 2013, for the third successive year, liquid alternatives was the fastest growing category of mutual funds, drawing in flows totaling $95.6 billion.  The fastest … Continue reading

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Market Timing in the S&P 500 Index Using Volatility Forecasts

To illustrate some of the possibilities of this approach, we constructed a simple market timing strategy in which a position was taken in the S&P 500 index or in 90-Day T-Bills, depending on an ex-ante forecast of positive returns from the logit regression model (and using an expanding window to estimate the drift coefficient). We assume that the position is held for 30 days and rebalanced at the end of each period. In this test we make no allowance for market impact, or transaction costs.
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Posted in Binary Options, Forecasting, Logit Regression, Market Timing, S&P500 Index, Volatility Modeling, volatility sign prediction forecasting Engle | Tagged , , , , , , , , | Comments Off