The VIX is not a Fortune-Teller

Author: , Post Date: June 22, 2017
image_pdfimage_print

DoubleLine Capital’s Jeffrey Gundlach said that low-volatility markets won’t continue for long in a webcast last week. But those who took that as a cue to place a bet on volatility were definitely not rewarded.

Both the iPath S&P 500 VIX Short-Term Futures ETN (VXX) and the ProShares VIX Short-Term Futures ETF (VIXY) dipped 1% each in the past week while the S&P 500 fell 0.06% in the same period. That’s not a knock on Gundlach. No one can predict when exactly volatility will strike and at what magnitude.

Leo Chen, a portfolio manager and quantitative strategist at Cumberland Advisors, thinks the VIX as well as other market indicators has given in to Goodhart’s Law,
Read the full article here: http://www.barrons.com/articles/the-vix-is-not-a-fortune-teller-1498144374


cumber map
Cumberland AdvisorsĀ® is registered with the SEC under the Investment Advisers Act of 1940. All information contained herein is for informational purposes only and does not constitute a solicitation or offer to sell securities or investment advisory services. Such an offer can only be made in the states where Cumberland Advisors is either registered or is a Notice Filer or where an exemption from such registration or filing is available. New accounts will not be accepted unless and until all local regulations have been satisfied. This presentation does not purport to be a complete description of our performance or investment services. Please feel free to forward our commentaries (with proper attribution) to others who may be interested. It is not our intention to state or imply in any manner that past results and profitability is an indication of future performance. All material presented is compiled from sources believed to be reliable. However, accuracy cannot be guaranteed.
Loading...