Tag Archives: Realized volatility

Can Realized Volatility Predict Future Volatility for Preferred Securities?

The investment community routinely uses historical realized volatility as an indicator of future volatility. One prominent example of this is the construction of ranking-based, low volatility equity strategies where realized volatility is used to form low volatility portfolios. Can the realized volatility of an asset indicate its future volatility? We extend the low volatility analysis Read more […]

2017: A Selection of Highlights

As we rapidly approach Christmas and New Year (not to mention year-end evaluations) it seems fitting to reflect on what happened in 2017.  We will publish our regional month-end dashboards on December 29 (interested parties may sign up here).  Before then, here are a few highlights using data as of December 15. Volatility was historically Read more […]

What is VIX Predicting about Future Volatility?

VIX® closed last night at 11.33.  What, if anything, does that mean? We recently published a research paper, together with a more digestible practitioner’s guide, that provides a method for converting a given VIX level into an expectation for S&P 500® volatility over the next 30 days.  Exhibit 1 shows that these estimates have provided Read more […]

2016 Presidential Election: Can Put Options Help Reduce Portfolio Volatility?

No other recent presidential elections have been as divided as this year’s.  As the objectivity and credibility regarding poll numbers and media coverage of the candidates are being questioned, the U.S. economy and the capital market are facing an unusual level of political risk.  Market participants may seek various tools to hedge the downside risk, Read more […]