Category Archives: Strategy

VIX: Reverting to the Mode

In the article at this link, Bill Luby – VIX analyst extraordinaire – dispels a misconception I have heard repeated at conferences and in presentations. Very often, people refer to VIX as “mean reverting.” This is not correct in the strictest sense of that phrase. VIX is not inclined to return to its long-term average. Read more […]

Hedge Funds Agonistes

 “A lot of people were hoping this year would turn out to be a stockpickers’ market, but that has turned out to be anything but the case so far” – Troy Gayeski, partner and senior portfolio manager at SkyBridge. At the beginning of this year, we indicated that despite a chorus of voices to the contrary, Read more […]

A Review of the S&P Global Intrinsic Value Index

The recently published research paper on S&P GIVI®: Factor Investing: A Review of the S&P Global Intrinsic Value Index analyzes in detail the source of GIVI returns globally and regionally. S&P GIVI is a multi-factor global index which provides exposure to low volatility and the value factors by removing 30% of the highest beta stocks Read more […]

EU Elections – More important than you think?

The coming week will provide Europeans with a chance to vote in the 2014 EU parliament elections. Nationally and internationally, the contest is viewed as somewhat moot; the majority across the EU will most likely not even vote. But whilst voters in the EU elections are not voting for members of the ECB or its president Mario Draghi, Read more […]

Alternative Futures: Fund Management and Indexing

In the last two weeks two mainstays of the British and global business press – The Economist and the Financial Times have argued strongly that indexing as an investment approach will overtake active management. The Economist (articles here and here) and the FT in its FTfm  section on fund management (here and here) point to the lower fees typically Read more […]

Sectors: A tale of American Culture

The makeup of the S&P 500 reflects the U.S. overall big-cap public market, and while it’s relevance to investing is well known, it is also a reflection on the changes in U.S. culture. Last December Facebook was added to the S&P 500, signaling the importance of social media. The prior month J.C. Penney was removed, Read more […]

Volatility, ya right

The market was up 0.7% this morning, and down 0.7% in early afternoon trading, and is currently trending up from the red. So I keep hearing that volatility has returned to the market. Maybe, if you just started trading. Daily volatility, as measured by the daily high price divided by the low price, has increased Read more […]

Defining a fast growing investment trend: ‘Smart Beta’

If finance were high fashion, ‘smart beta ETFs’ would be the showcase of this year’s Spring collection. They are receiving a lot of press attention and surveys of institutional investors show that they plan to increase their adoption of smart beta ETFs. In this article, we answer the question: What specifically are smart beta ETFs Read more […]

An Immediate Risk Measure

Volatility and correlation are history. In fact this is a consequence of their definitions.  The calculation of volatility and correlation – the preeminent measures of risk – requires multiple observations.  Quite a few periods are needed if the resulting estimates are to be relied upon as robust.   Because of this, volatility and correlation are not Read more […]

Right Conclusion (maybe), Wrong Reason (definitely)

This morning’s Wall Street Journal joined (actually, re-enlisted in) the chorus of those arguing that 2014 would be a time for stock pickers to “shine.”  The lynchpin of the Journal‘s case will be familiar to advocates of a “stock-picker’s market.”  That argument is that since correlations in the U.S. equity market are declining (perhaps as Read more […]