Tag Archives: Tim Edwards

Stock Picking AI? Elementary, My Dear Watson

Keen watchers of the ever-developing exchange-traded product space may have noticed an intriguing development last week, as the first purely “artificial intelligence”-based stock-picking ETF launched.  Powered by IBM’s “Watson” platform, the fund sponsors claim to use a proprietary quantitative model to select stocks that will outperform, based on machine learning applied to vast data sets. One cannot help wondering Read more […]

Low Volatility, VIX and Behavioral Finance

As this week’s award of the Nobel Prize in Economics to Richard Thaler confirmed, the existence of behavioral biases in finance is no longer a controversial theory.   People often prefer a small chance of a large gain to a near-certain chance of a small gain, even if the expected return from the latter is higher.  Read more […]

A New Eden, Or Fewer Excuses

In our May dispersion dashboard, we note that “If there is ever such thing as a “stock-pickers’ market”, then the month of May 2017 – at least in some regions – might be the closest approximation we have seen for a decade.” The subject of what, exactly a “stock-pickers’ market” might look like, and how Read more […]

Winners and Losers in Trump’s Electoral Surprise

Donald Trump’s unexpected success initially threatened to send the U.S. equity markets into steep decline.  Yet as I write, the S&P 500 has moved very little since yesterday’s close (it is up a little), while the VIX has fallen dramatically. So why (or how) has volatility remained so low this morning when everyone expected it to Read more […]

VIX is holding the Trump card

Despite a narrowing election race and a deluge of earnings, the S&P 500 has not seen a daily change greater than 1% in nearly four weeks.  Realized volatility remains remarkably low.  But the CBOE Volatility Index (VIX) – a predictive measure of future volatility that is often seen as Wall Street’s “fear gauge” – has Read more […]

The VIX is Low, But Should You Fasten Your Seatbelt?

VIX has spent the whole of August below 14, and remains – at time of writing – close to its lowest levels in two years.  But the present calm may be dependent on a short-term seasonal effect; and we are approaching the traditional period where it ends. August is traditionally a quiet month for U.S. Read more […]

Navigating Brexit

Despite some warnings from volatility gauges, the market had “priced in” a vote for remain from the UK’s population.  This has made for some dramatic headlines, and large movements since the vote to leave the EU was announced.  As the market scrambled to make sense of the political chaos, three key themes have emerged from the Read more […]

Divining Brexit

The markets’ view of the pending British referendum on EU membership displays the hallmarks of a low probability, high impact event.  Correlations, and volatility expectations, are the key indicators. When macroeconomic risk is dominant, as a select few narratives come to preoccupy investors, correlations increase.  For example, in August and September 2015, markets worldwide were roiled Read more […]

Who’s Afraid of a Carbon Tax?

As far as equity investors might experience them, the risks of a potential “carbon tax” are more easily fathomed than the rewards.  Emissions data are available for most large companies and – taking basic assumptions on the likely form of taxation – we can easily examine which market segments face the greater risks. Estimating The Impact Read more […]

Who Fuelled the Oil Bonds Bubble?

It has become popular to blame passive investors and index funds for the recent rise (and fall) in prices for U.S. high yield bonds.  The thesis – placing passive investors as the culprit – goes as follows: There have been material, positive flows into passive bond funds, at the expense of active funds. Passive bond funds Read more […]