Tag Archives: VIX

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Cumberland Advisors Market Commentary – Year-End & 2020 Forecast Note #3: Potential Volatility Driven by US Politics

Author: David R. Kotok, Post Date: December 5, 2019
Market Commentary - Cumberland Advisors - Year-End-&-2020-Forecast-Notes 3 - Potential Volatility Driven by US Politics

US politics will be a closely watched, bubbling pot in 2020, and the media will boil over every news item. That said, it is Super Tuesday (March 3) which becomes the key date for Democrats. Republican challengers to Trump seem to be non-starters as best as we can determine. Perhaps the New Hampshire or Massachusetts […]

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 […]

Causality

Author: Leo Chen, Ph.D., Post Date: June 11, 2018
Cumberland Advisors Market Commentary - Leo Chen, Ph.D.

On day 1 our econometrics professor warned us to be careful with correlation: A strong correlation doesn’t necessarily mean causality. This is the case with the VIX. It’s closely related to the S&P 500 with a negative correlation, but the relationship may not be causal. I will never forget the example our professor gave us: […]

Stop Saying Volatility Is a Bad Thing

Author: , Post Date: April 16, 2018
Cumberland Advisors In The News

Excerpt below: Hardly a day went by in 2017 without some pundit bemoaning the lack of volatility in financial markets. They worried about complacency, implying that the Goldilocks-like environment that enveloped markets was a recipe for disaster. With volatility on the rise, you would think the handwringing would diminish. It hasn’t. Now, the pundits are […]