Steven Romick, ranked among the top 1% of money managers was actively selling in first quarter 2013. Steve Romick is the portfolio manager of First Pacific Advisor’s Crescent Fund. As of January 31, the fund has delivered over 11 percent a year in average over the past 10 years. In his March 2013 Quarterly Commentary to FPA Crescent Fund (MUTF:FPACX) shareholders he has indicated that not much has changed in the financial world, with interest rate remaining...
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“The punch that you don’t see is the one that gets you” – Old boxing saying Tail risk is the measure of risk caused by severe and infrequent “black swan” events such as the global financial crisis of 2007-2008 or the European debt crisis. The tail is a reference to the extreme left tail of a return distribution for an individual asset class or portfolio. Drawdowns for both individual asset classes and allegedly diversified...
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Hedge funds are holding record net long exposure, compared to last couple of years, both in US equities and Japanese markets, Societe Generale’s Hedge Fund Watch reports. These findings tie into the findings reported by BAML’s hedge fund monitor. The hedge funds have piled up their long bets against the backdrop of 1.3 trillion Yen bond buying program that was revved up by the Bank of Japan on April 4th. The enthusiasm for US equities...
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Artemis Vega Fund LP is the volatility strategic fund unit of Artemis Capital Management LLC. Founded by Christopher Cole, the company is headquartered in Santa Monica. Artemic Vega Fund generates crisis-alpha from options and volatility futures. Artemis is designed to provide direct exposure to increasing volatility (VIX above 30), giving investors a solid source of crisis-alpha. The fund simultaneously generates positive risk adjusted returns during normal environments. During market crashes, Artemis Vega Fund is...
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Pullbacks Are Nice Let`s start with the Yen Carry trade, where do you think the juice came from for that S&P ride above 1500? Gee, somebody was sure waiting for a pullback to get in on that trade. Frankly, it was a rather tepid reaction to the major disappointment by the BOJ, but traders really want to move assets up, and the Yen is their best friend. Ergo, the next level...
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A great analysis on the recent movements of the VIX volatility index comes from Barrons today. In a blog, titled “The Stock Market’s Seinfeld Show,” Steven M. Sears, looks at the current uselessness of the VIX (NYSEARCA:VXX) as a market metric, and compares the index to Seinfeld. The VIX is a measure of volatility championed by the Chicago Board Options Exchange. The index is currently trading at an all time low, this has spooked...
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The Market Volatility Index (VIX) was introduced in an academic paper by Professor Menachem Brenner and Professor Dan Galai in 1987, and published in the Financial Analyst Journals in 1989. The Index is also sometimes referred to as the Fear Index, or Fear Gauge. This is because it is used as an indicative decision made by market participants, who track it to determine the level of tension in the market. High levels of the VIX indicate increased tension in the...
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Volatility is the enemy of most investment strategies, which generally do better in rising than falling markets. Veteran volatility trader Michael Wexler from Maple Leaf Capital explains how investors can actually profit from volatility by employing strategies that make more money in higher volatility than low vol environments. This is possible because the dislocation in the pricing of options between fair value and actual trading is greater at higher volatility levels. Historically, Maple Leaf’s...
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By http://Greenbackd Chris Cole of Artemis Capital Management has created an incredibly cool film called “Volatility at World’s End: Two Decades of Movement in Markets” showing a depiction of real stock market volatility using trading data from 1990 to 2011. It accompanied his speech at the 2012 Global Derivatives and Risk Management Conference in Barcelona, Spain. Here’s Chris’s introduction: “Nobody will deny there is roughness everywhere….” Benoit Mandelbrot The movement of stock prices has been an obsession for...
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The Chicago Board Options Exchange (NASDAQ:CBOE) may be eyeing up an index based on Apple Inc. (NASDAQ:AAPL) futures according to statements made by the president of the company earlier today. The company’s VIX index is used as the best measure of volatility on the market and is used daily by investors. The news was reported by Reuters earlier today. The president is now eyeing up an expansion of the products to single stock volatility indexes...
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The TVIX (NYSEARCA:TVIX) has been responsible for some unusual trading recently. The index, which promises to double gains on the VIX volatility index, was down 30% on March 22nd as the VIX rallied, and in the last few days as the VIX rose 22% the TVIX was only up by 16% when it should have been up 44%. The volatility in the volatility tracker has caused doubt as to the index’s future. Media releases...
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