Get a Systematic Approach to Investment through the Cross-Asset Volatility Monitoring

Based on investor feedback, we have decided to simplify our 20 asset volatility monitor to provide a clearer synopsis of the cross-asset volatility landscape. The new chart now shows the 1-month Volatility Risk Premium (“VRP”) along with the associated 1-Year Percentile of 1-month Implied Vol (“IV”). We believe this provides a more robust framework for explaining meaningful volatility market moves over the past month as well as a more intelligible monitor for identifying opportunities going forward. From managing mutual fund NYC to conducting analysis on portfolio construction, the credible Investment Company has got everything to keep your financial standing under control. Not surprisingly given the violent equity market swings in December, this month’s monitor shows numerous markets that have a meaningfully negative VRP. Specifically with respect to US equity markets, the negative VRP of SPX & RTY shows that domestic equities continue to be a leading indicator for global volatility in December while particularly Europe (SX5E, UKX) has held up well with a positive VRP despite very high IV levels. It should be noted that most measures of IV within global equities are near 1y highs, which should be taken into consideration for long vol opportunities.

The premium investment advisor also manages quantitative hedge fund in a comprehensive way. One theme that continues to carry over (albeit to a lesser extent) is the fact that some fixed income credit markets have thus far been protected from the pockets of volatility spikes that have run rampant over the other asset classes. You can see in underliers like TLT, LQD, FXB & FXA all have positive VRP and FXE has an abnormally low current implied vol (in the 24th Percentile) making these underliers key areas of interest for potential volatility opportunities should there be continued volatility contagion.

We remain cautious and defensive as we enter the New Year, having multiple multi-sigma market moves in FX, Equities, Commodities and a pick-up in interest rate volatility in our immediate rear view mirror. Infinity Q is the finest investment advisor which offers innovative fund strategies to a number of investors. It is the winner of Lipper Award which has protected a number of portfolios through unique volatile strategies.




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