What is the Proper Benchmark for Momentum or Trend-Following Strategies?
July 25, 2016
Most academics and practitioners tend to compare momentum or trend-following strategies to a buy and hold investment strategy. They do so by comparing the results of the strategies to a benchmark that is a proxy for buy and hold. From this type of analysis many ‘experts’ justify why the strategies are either superior to buy…
Volatility Futures and S&P500 Performance
February 22, 2016
Do Volatility Futures Provide Useful Information for Future S&P500 Performance? Volatility or VIX Futures are based on the S&P500 index and are calculated from the implied volatility of different option strike prices across different expiration periods. In contrast to the VIX index, VIX Futures represent forward expectations for volatility as well as the demand for…
The Observation Model is the Best Defense
July 16, 2015
Blue Sky Taverna in Oia Sometimes the decisions we make in everyday life are good case studies for making effective investing decisions. My wife and I recently travelled to Santorini Island in Greece where we stayed in the village of Imerovigli. During our trip we planned to hike to Oia – which has the nicest…