The Fed and the VIX

The Federal Reserve released the minutes from the July 26-27 meeting.  The market was waiting on baited breath for something, anything to cause a ruckus.  The VIX Index, or Fear Index, was up 1.07 at one point, to 13.71.  After the release of the minutes though, it crumpled down to 12.19.  Most of you are … More The Fed and the VIX

Absolute Return – Absolutely

One of the principal challenges in managing investment strategies, or even quantitative strategies for that matter, is understanding why they can under perform.  This week, the market was struck by increased volatility in Gold and Silver prices, before and after improved labor data announced on today.   As volatile long bond and precious commodities can be, it is fascinating to see … More Absolute Return – Absolutely

Correlation in Absolute Return

Periods of heightened volatility are expected in every investment strategy.  For hedge funds, the raison d’etre is to provide access to investment strategies that “hedge” out this volatility.  In most cases, the hedge fund will use leverage and negatively correlated assets to provide alpha with lower volatility than the S&P 500, or any other benchmark. When markets dip … More Correlation in Absolute Return

Absolute Return

Several years ago I began to tinker with the typical portfolio construction models offered to clients of the banks I worked at.  In training, we were told that the best models were those that allocated money to active, established money managers such as Franklin Templeton, MFS, etc.  Time taught me that even the Bill Miller’s … More Absolute Return