...evidence indicates that 3-month rolling VIX futures contracts may be the preferred way for investors to hedge stock market positions against crashes.
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Posts Tagged ‘ Volatility Effects ’
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Hedging Crashes: Volatility Futures vs. Index Puts
Combining Realized Volatility and Simple Moving Averages
...evidence indicates that focusing simple moving average trading rules on stocks with relatively high past-year volatility may be profitable. However, potential optimism in assumptions about trade timing and trading frictions for high-volatility stocks suggest caution for this finding.
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Average Stock Variance as a Market Indicator
...evidence suggests that investors may be able to gain an edge by considering the recent historical relationship between average stock price variance and future short-term market return.
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Volatility Concentrations Are Bearish?
...evidence from simple tests does not support a belief that clusters of daily volatility reliably signal poor future returns.
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Exploiting the Predictability of Volatility
...investors may be able to exploit the predictability of equity return volatility via a dynamic leverage strategy that increases (decreases) leverage when predicted volatility is low (high).
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Momentum and Portfolio Risk
...evidence suggests that investors employing hedge momentum strategies may want to adjust the level of hedging (long past winners versus short past losers) according to portfolio risk level.
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Does Volatility Selectively Filter Good and Bad Days?
...results from simple tests do not support a belief that an investor can readily filter good and bad daily stock market returns based on the level of realized volatility.
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Fear of Disasters?
...evidence suggests that fear of disasters accounts for large fractions, perhaps most on average, of both the equity risk premium and the volatility risk premium.
Read the entire article at the CXO blog!
How the 52-Week High and Low Affect Beta and Volatility
...volatility traders may be able to exploit predictable behaviors of price volatility for stocks approaching and breaching 52-week highs and lows.
Read the entire article at the CXO blog!
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Long-run Versus Short-run Idiosyncratic Volatility
...evidence indicates that stock return predictions based on past volatility are sensitive to the interval of measurement. Measurement over long intervals supports the conventional reward-for-risk...
Read the entire article at the CXO blog!
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