Downside Beta Premium [PREMIUM]
Can investors earn a reliable premium from stocks with high downside risk? In their January 2012 paper entitle “Sorting Out Downside Beta”, Thierry Post, Pim Van Vliet and Simon Lansdorp measure in four ways (including regular beta) the pr...
VIX Calendar Effects [PREMIUM]
Does the S&P 500 implied volatility index (VIX) exhibit systematic behaviors by day of the week, month of the year, turn-of-the-month (TOTM) or options expiration (OE)? If so, are the behaviors exploitable? Using daily closing levels of VIX since J...
Exploiting Idiosyncratic Volatility in Commodity Futures [PREMIUM]
Can investors exploit idiosyncratic volatility exhibited by commodity futures? In their December 2011 paper entitled “Idiosyncratic Volatility Strategies in Commodity Futures Markets”, Adrian Fernancez-Perez, Ana-Maria Fuertes and Joelle M...
Adaptive Asset Allocation Policy [PREMIUM]
Are the relatively placid financial markets of the American Century evolving to a high-volatility regime in a more evenly competitive world? In his December 2011 paper entitled “Adaptive Markets and the New World Order”, Andrew Lo examine...
Leveraged Style ETF (2X and -2X) Momentum Strategy [PREMIUM]
A subscriber suggested applying a simple momentum trading strategy to a set of leveraged equity style (size, value-growth) exchanged-traded funds (ETF), including leveraged long and leveraged short counterparts to exploit both positive and negative m...
Leveraged Sector Fund Momentum Strategy [PREMIUM]
A subscriber suggested applying simple momentum trading strategies to a set of leveraged equity style (size, value-growth) funds. It seems plausible that leverage may make funds react quickly and strongly to business cycle shifts that affect style pe...
Stocks versus Bonds as Investment Horizon Lengthens [PREMIUM]
Should investors believe in the superiority of stocks for the long run and bonds for the short run? In his December 2011 paper entitled “Stocks, Bonds, Risk, and the Holding Period: An International Perspective”, Javier Estrada examines how...
Economic Announcements and VIX [PREMIUM]
Do economic announcements systematically remove uncertainty from financial markets and thus reliably lower implied volatility indexes? In their September 2010 paper entitled “The Impact of Macroeconomic Announcements on Implied Volatilities”...
Stable Expected Shortfall Tactical Asset Allocation Framework [PREMIUM]
Is risk avoidance by itself a good tactical asset allocation strategy? In their November 2011 paper entitled “A Risk Based Approach to Tactical Asset Allocation”, Dario Brandolini and Stefano Colucci propose a purely risk-based asset allo...
Multi-year Performance of Non-equity Leveraged ETFs
An array of leveraged exchange-traded funds (ETF) track short-term (daily) changes in commodity and currency exchange indexes. Over longer holding periods, these ETFs tend to veer off track. The cumulative veer can be large. How do leveraged ETFs perfo...
VIX Seasonality
Does the S&P 500 Implied Volatility Index (VIX) exhibit seasonality across calendar months? To check, we calculate the average daily VIX for each month and average the averages by calendar month. For comparison, we also calculate the average daily ...
