Tag Archives: volatility

The Trade-Off between Upside Participation and Downside Protection

Financial market history is rife with prolonged bull market periods and deep corrections. With no proven way to correctly time the market, market participants can stay fully invested and attempt to capture the potential upside, but they also have to endure and recover from the full depths of drawdowns. Hence, some market participants may choose Read more […]

Volatile Start to 2020 – What’s Next?

Last year’s prognostications about the events and trends to monitor in 2020 have evaporated as COVID-19 has upended people’s lives and caused massive recalibrations in financial markets.  In Q1 2020, we said “goodbye to the bull market”; large market movements became the new normal; correlations and dispersion shifted drastically; quantitative easing returned; and access to Read more […]

Coronaviral Correlations

Mea culpa: Roughly a month ago I used a dispersion-correlation map to describe how index dynamics can illuminate market movements.  In particular, I reported that since high dispersion seems to be a necessary condition for a bear market, and S&P 500 dispersion levels at the end of February were far below those prevailing in past Read more […]

Equity Liquidity at a Reasonable Price

The fall in equity market values since February’s peak has been sudden and dramatic.  During this period, the equity markets have functioned well at their primary task of facilitating price discovery at a time when values were changing rapidly.  Equity investors who wanted to trade have been able to trade.  (Whether they were wise to Read more […]

The Best Offense Is Defense – Why VEQTOR Outperformed Last Week

Six minutes after trading began on the New York Stock Exchange on March 9, 2020, the S&P 500® plummeted 7% and market-wide circuit breakers kicked in for the first time since the stock market crash of Oct. 27, 1997. However, the indices fell again later in the week and triggered another circuit breaker on Thursday, Read more […]

The Most Dangerous Words

The four most dangerous words in investing are “This time it’s different.”  –  Sir John Templeton As investors ponder the ultimate extent of the coronavirus epidemic, this week’s equity market declines are of natural concern to every asset owner.  The obvious question, after near-record point drops in major indices yesterday and today, is how much Read more […]

Volatility and Performance of Options-Related Indexes in the 2010s

As we enter the 2020s with interest in worldwide geopolitical volatility, here are some key points about volatility and the performance of options-related indexes the 2010s. How Did Equity Volatility in the 2010s Compare to Volatility in Previous Decades? The average of the daily closing values of the VIX® Index in the 2010s was 16.9 Read more […]

Performance and Volatility for Sectors in the 2010s

As we enter the 2020s, here are some key points about the 2010s – The U.S. economy has expanded for a record 126 straight months, the longest time period in U.S. history, according to the National Bureau of Economic Research. The bull market in U.S. stocks has run about 10.7 years, one of the longest Read more […]

S&P Risk Parity Indices: Positioning for Uncertainty

Uncertainty has been a common theme throughout 2019, and the third quarter proved no different. The quarter was dominated by uncertainties surrounding the U.S.-China trade talks as well as falling global growth forecasts. Demand for high-quality fixed income assets increased, pushing the yield on the 10-Year U.S. Treasury Bond down 34 bps. In spite of Read more […]

VIX® Dropped Below S&P 500® Realized Volatility

While everyone has been concerned about the inverted yield curve, the CBOE Volatility Index® (VIX) has been under the 21-trading-day realized volatility of the S&P 500 since Aug. 16, 2019. Since volatility traders care not only about what is expected but also what actually transpired, the spread between implied volatility and realized volatility is one Read more […]