Tag Archives: volatility

Let Me Count The Ways To Get To 8%

Recently I visited a few pension plans and it amazes me how the policy views on risk differ to meet seemingly similar return goals. The National Association of State Retirement Administrators (NASRA) reported earlier this year that of 126 major state and municipal systems, 32 had set an assumed rate of return between 7.5% and 8%, 37 Read more […]

Hedging With Volatility Is Not Just For Stocks

The CBOE Volatility Index, or what many investors have come to know as VIX, is the index many follow as a volatility indicator for the stock market. The benefit besides printing the “implied” or expected volatility for prices over the next 30 days, giving a range of expected prices 30 days from now, is that it Read more […]

Bumpy Roads Ahead in European Equities

Three things typify systemic equity crises. Firstly, volatility increases. Secondly, correlations rise. And lastly, the stock market falls. October was a difficult month for European equities. The S&P Europe 350 fell by over 3%, taking a day-to-day lead from Greek government bond prices, and with every sector and nearly every country posting a loss for Read more […]

No Big Deal

Twenty years from now, some bright young analyst looking at data for the U.S. stock market could be excused for thinking that the S&P 500’s 2.4% total return for October 2014 was no big deal – just one more routine good month in a long bull run.  If the analyst is particularly inquisitive, he might Read more […]

The VIX is at a crossroads – mind the gap.

As you, dear patient reader, have no doubt noticed, volatility is back. The VIX® has reached levels not seen since the peak of the Eurozone crisis over two years ago. The exact reasons might be debatable, but either way October is living up to its perennial reputation as the cruelest month for equities. Source: CBOE Each time Read more […]

The Best Offense

Some American football coaches are fond of citing the maxim that the best offense is a good defense — because even if your offense is having an unproductive day, a good defense means that you’re always in the game. A related principle applies to investing — in some environments, the best way to win is Read more […]

Two Interesting Facts of the Chinese Bond Market Volatility

The S&P China Bond Index is targeted to provide global investors an independent, transparent and broad-based benchmark. A study of the index returns revealed two interesting facts on the Chinese bond market volatility. 1)      While the volatilities of most Asian bonds retreated in the past year, the Chinese bonds have actually become more volatile. The Read more […]

Market Myopia

As investors, we necessarily rely on history.  How we analyse that history is particular to each investor – some will look for technical patterns, some at fundamental data, still others will build quantitative models.  But all of us need data, and history is our only source. We may have to rely on history; we don’t Read more […]

Why is the VIX so high?

No, our crack proofreading team didn’t muff the headline.  After several weeks of seemingly unanimous commentary about how investor complacency has resulted in VIX® levels that are “too low,” we want to ask the contrarian question.  Rather than being too low, why is the VIX so high? The question is germane because there has been Read more […]

A Misconception about the Asian Bond Markets

Recently at a panel discussion that I participated, one topic we talked about was if the bond price volatility in Asia is an obstacle to the investors. I believe it is a common misconception in the market. A volatility analysis was run on the local currency denominated bonds of the 10 countries that tracked by the Read more […]