The easy approaches to the market that worked so well in 2012 and 2013 have performed poorly so far this year
What’s Working Now?
read more
U.S. Market Risk Dashboard Update ? No Warning Signs, Yet
Given the fierce market selloff in recent sessions, I thought it would be helpful to check on our favored set of risk indicators for the U.S. market.
VIX Option Activity & Market Returns (Update)
So what has recent market activity meant for future returns?
Options Markets Aren’t Convinced about the ?Seismic? Scale of Russian Intervention
On Sunday, Eurasia Group President Ian Bremmer wrote about the scale of recent events in Ukraine
Reading in Lieu of Bearishness
You know that one slogan about how bearish investors always sound ?smarter,? even if they?re wrong most of the time?
Doing What It Says on the Tin: the Value of Volatility ETPs
The iPath S&P 500 VIX Short-Term Futures ETN (VXX) launched in 2009, but after five years and many billions in transactions, it?s still a widely misunderstood product in some quarters
VIX Option Activity & Market Returns (Update)
The intuition around ratios of option trading volume is that large deviations from normal trading volume may indicate a significant change in investor sentiment,
Are Short Volatility ETPs Worse Than SPY?
??Volatility Tourists? Get Crushed,? exulted a column in Barron?s on Friday, referring to losses incurred that day by short volatility ETPs like XIV and SVXY.
Neutral Is the New Bearish
I?ve updated the chart we showed last month (?The Rally No One Saw Coming?) with the trading range for the S&P 500 for 2014.
VIX Portfolio Hedging (VXH) Strategy 2013 Performance Review
In 2013, being maximally long stocks was the only game in town, and investors who sought the safety of hedging strategies lagged unhedged indexes.
Dispersion and Stock-pickers’ Markets
Here?s an interesting new paper from S&P Dow Jones Indices about dispersion and why it is a more valuable estimate than correlation.
Nothing Gold Can Stay
Gold is down 22% from its early October high and people are scrambling. None of the fundamental reasons supposedly favoring a continued rally in metals have proven true.