VIX Day-of-the-Week Effects [PREMIUM]
Does the S&P 500 implied volatility index (VIX) exhibit systematic behaviors by day of the week? In their February 2012 paper entitled “Day of the Week Effect on the VIX: A Parsimonious Representation”, Maria Gonzalez-Perez and David ...
What Happens When VXX Moves the Wrong Way? [PREMIUM]
Generally, when stocks go up (down), iPath S&P 500 VIX Short Term Futures (VXX) goes down (up). A reader asked what happens after stocks and VXX move in the same direction. Is this unusual behavior a useful signal? Using daily returns of SPDR S&...
Simple Tests of VXX as Diversifier [PREMIUM]
Market volatility tends to rise as returns fall. Does adding a proxy for U.S. equity market volatility to a diversified portfolio improve its performance? To check, we add iPath S&P 500 VIX Short Term Futures (VXX) to the following mix of asset c...
Combining Realized Volatility and Simple Moving Averages [PREMIUM]
...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 stock...
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...
