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Sorry, but I forgot to mention that I have already explored and incorporated covered call writing and short selling to reduce volatility and increase the Sharpe ratio of the portfolio. What I meant philosophy/strategy was switching to different asset class when say Vix starts going up or a mechanical system, etc.
Regards,
Rajiv On Thu, Apr 30, 2009 at 2:02 AM, Pete Lieber <plieber@xxxxxxxxxxxxxx> wrote:
The obvious answer to that is to write covered calls.
To: equismetastock@xxxxxxxxxxxxxxxFrom: 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
-- Rajiv Sent from Baltimore, MD, United States
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