Browsing: VIX

Posts Tagged ‘ VIX ’

The VIX Dog That Didn’t Bark

Feb 7th, 2021 | Filed under: Newly Added, Other Topics in A.I.

By Rick Roche, CAIA In the story, “The Adventure of Silver Blaze”, Sherlock Holmes solves a mystery in part by when no one he’d spoken to during an investigation mentioned that they heard a dog bark the night a famous race horse was stolen and the horse trainer was killedRead More

Hedge Fund Investors Respond to the Turning of the Business Cycle

Jan 13th, 2020 | Filed under: Hedge Fund Industry Trends, Private Equity, Hedge Fund Strategies, Investing in Commodities, Equity Hedge Funds, Debt Types of Private Equity, Newly Added, Equity Types of Private Equity, Other Issues in Private Investments, The A.I. Industry, Hedge Funds, Commodities, Private Investments

It is reasonable to expect that a diversified hedge fund portfolio will make more modest returns in 2020 than it did in 2019, according to Agecroft Partners, which has done its usual January crystal-ball gazing on the new year, looking for the top industry trends and how they may playRead More

A Proposed Model for VIX Derivatives Pricing

Feb 14th, 2019 | Filed under: Derivatives, Newly Added, The A.I. Industry, Commodities, Structured Products

The VIX may be about to get some competition. VIX is the “fear gauge,” the very visible measure of expected price fluctuations in the S&P 500 index options. On the foundation of its popularity, CBOE has built a monopoly on exchange-traded volatility products. VIX derivatives have become among the mostRead More

The Unrecognized Risks of Short Vol Strategies

Feb 25th, 2018 | Filed under: Financial Economics Theory, Newly Added, Risk Metrics and Measurement, Risk Management & Operations, Finance & Economics

Vineer Bhansali and Lawrence Harris have written a scholarly paper on what they call the “extraordinary growth of short volatility strategies” since late 2010. A lot of people and institutions seem to have come to the conclusion that spiking volatility is just that. A “spike” on a chart is definitionallyRead More

S&P on Reading VIX

Feb 6th, 2018 | Filed under: Financial Economics Theory, Newly Added, Finance & Economics

S&P Dow Jones Indices has put out a paper offering market participants without patience for “academic rigor” an accessible guide to the so-called “Fear Index,” the VIX, calculated from the prices of a specific basket of S&P options. The contributors to the paper are: Tim Edwards, S&P Global senior director,Read More

Study Says The Gold Bugs are Right

Aug 23rd, 2015 | Filed under: Currencies, Hard metals, Risk management, Forex, Gold

Gold seems, to a larger extent than silver, and even more so to an extent larger than is true for palladium or platinum, to work as a true financial asset: decoupled from price developments in the commodity markets. It succeeds as a hedge against currency and stock-market trouble.Read More

Understanding VIX Part 2: Understanding VIX Futures and Exchange Traded Products

Aug 19th, 2012 | Filed under: Alpha Strategies, CAIA Alternative Viewpoints

Keith Black, PhD, CFA, CAIA, discusses trading volatility in Part II of this two-part series.Read More

Understanding VIX Part 1: An Empirical Description of the CBOE Volatility Index

Aug 16th, 2012 | Filed under: CAIA Alternative Viewpoints

Keith H. Black, PhD, CFA, CAIA, takes the fear out of understanding the "Fear gauge." Part I of a two-part series.Read More

Who said hedge funds don’t like chaos?

Feb 18th, 2010 | Filed under: Performance, Analytics & Metrics

A report from Moody's shows that hedge funds seem to hate volatility. But is this always true?Read More