Tag Archives: VIX

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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 […]

Dow Closes the Week Up 427 Points–the Hard Way

Author: , Post Date: April 15, 2018
Cumberland-Advisors-Leo-Chen-In-The-News

Excerpt below: Another week, another reason to wonder: Is the correction really over? The market found its footing this past week, as the Dow Jones Industrial Average advanced 427.38 points, or 1.8%, to 24,360.14, while the Standard & Poor’s 500 index rose 2%, to 2656.30, and the Nasdaq Composite gained 2.8%, to 7106.65. Dow Closes […]

The VIX and the S&P 500-An Equity Market Duet

Author: Leo Chen, Ph.D., Post Date: April 13, 2018
Cumberland Advisors Market Commentary - Leo Chen, Ph.D.

Most market participants have accepted that 2018 is unlikely to be another low-volatility year like 2017, but how do we translate the rising volatility into our market forecast? Some Wall Street bulls such as RBC’s Lori Calvasina have revised their year-end forecasts down recently.* Are those revisions because of the higher VIX? First, given that […]