Tag Archives: Volatility

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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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 – 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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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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The Mathematics of Scalping

NOTE:  if you are unable to see the Mathematica models below, you can download the free Wolfram CDF player and you may also need this plug-in. You can also download the complete Mathematica CDF file here. In this post I want … Continue reading

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Implied Volatility in Merton’s Jump Diffusion Model

The “implied volatility” corresponding to an option price is the value of the volatility parameter for which the Black-Scholes model gives the same price. A well-known phenomenon in market option prices is the “volatility smile”, in which the implied volatility … Continue reading

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