Tag Archives: Leo Chen

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Cumberland Advisors Market Commentary – Market Volatility ETF Portfolio 2Q 2019 Review: Rising VIX

Author: Leo Chen, Ph.D., Post Date: June 19, 2019
Cumberland Advisors - Quarterly Review - Market Volatility ETF

The US stock market experienced some rising volatility caused by the tariff war during the second quarter of 2019. While the S&P 500 didn’t drop by double digits in May, the volatility index, VIX, briefly touched above 20 last month. As a general rule of thumb, investors can expect a 10% correction in the stock […]

Leveraged ETF Tracking Error

Author: Leo Chen, Ph.D., Post Date: December 14, 2018
Cumberland Advisors Market Commentary - Leo Chen, Ph.D.

We discussed the goal of leveraged ETFs previously – to provide daily returns that match the desired ratio over the underlying index (https://www.cumber.com/margin-trading-vs-leveraged-etfs/). These ETFs rebalance daily to maintain the proportional leverage through derivatives such as futures, forwards, and swaps. We will demonstrate that this daily rebalancing feature dictates the long-term returns of leveraged ETFs, […]

Margin Trading vs. Leveraged ETFs

Author: Leo Chen, Ph.D., Post Date: November 27, 2018
Market Commentary - Cumberland Advisors - Margin Trading vs. Leveraged ETFs

Our previous commentary on leveraged ETFs (www.cumber.com/leveraged-etfs/) received many comments from our readers. We would like to thank you for sharing your thoughts and address one common question among many investors: Which is better, margin trading or leveraged ETFs? First, what is the difference between these two methods of investing? We walked through leveraged ETFs […]

Leveraged ETFs

Author: Leo Chen, Ph.D., Post Date: November 14, 2018
Cumberland Advisors Market Commentary - Leo Chen, Ph.D.

Our quantitative strategy at Cumberland Advisors is a trading model that combines fundamental indicators and quantitative analysis into a binary output – either fully invested or all in cash. The strategy trades the S&P 500 in two versions: unleveraged and leveraged. Specifically, the leveraged portfolio uses a leveraged ETF as our vehicle to track 3X […]

VIX Inversion

Author: Leo Chen, Ph.D., Post Date: October 9, 2018
Cumberland Advisors Market Commentary - Leo Chen, Ph.D.

VIX, the “fear gauge,” measures S&P 500 near-term volatility by using options that expire in 23–37 days. Therefore, the VIX we often discuss is the 1-month volatility index. However, the Chicago Board Options Exchange (CBOE) also publishes 3-month (VIX3M) and 6-month (VIX6M) volatility indexes, which are less well known. The 3-month and 6-month VIX indexes […]