RE: [EquisMetaStock Group] Strategy, philosophy or system directly correlated with Vix

[Pete Lieber <plieber@xxxxxxxxxxxxxx>]

The obvious answer to that is to write covered calls.

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To: equismetastock@xxxxxxxxxxxxxxx
From: rajiv1@xxxxxxxxx
Date: Wed, 29 Apr 2009 19:18:53 -0400
Subject: [EquisMetaStock Group] Strategy, philosophy or system directly correlated with Vix

Most of the systems that I use currently are inversely correlated with VIX -- if vix goes down, my systems do much better then the benchmark on that day -- sometimes a combination of 10 systems give an excess return of more than 1%. When the VIX goes up, the systems in aggregate underperform.

My experience tells me that most systems (at least those in the public domain) and TA in general, are inversely correlated to volatility i.e. they outperform the bench when volatility goes down.

So, my question is: Has anyone come across a broader philosophy, or a strategy or systems that outperforms when the VIX is increasing.

Thanks,

--
Rajiv

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