
...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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...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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...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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...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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...evidence from simple tests does not support a belief that clusters of daily volatility reliably signal poor future returns.
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...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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...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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...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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...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.
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...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!