Trends in sector rotation have been well covered both as a leading indicator for future equity market returns and also as a tool in tactical asset allocation decision-making. The recent out-performance of the utilities sector and the concurrent under-performance of the consumer discretionary sector this year have sparked some recent comparisons between today‚Äôs market and […]

There was an excellent post yesterday on the Motley Fool site about the death of long-term thinking by Morgan Housel (link here). It is a great, quick read and I recommend it to anyone who invests their money in markets, or just as important, anyone who invests money on behalf of others. The long-term perspective […]

This week saw the VIX rise nearly 2 points as measured in implied volatility, ending the week at 15.76, up from 13.79 on the prior week’s close. Did you know this was the fourth consecutive higher weekly close for the VIX? A VIX rally of that length has not occurred since….almost exactly 1 year ago […]

On Monday of this week, the SPX volatility term structure went into an inverted state whereby the nearest-term option expiries held higher implied volatilities than farther-back months in the expiration cycle. I went back and looked at how the front-month VIX futures contract has performed historically when this phenomenon has occurred. My basis for evaluation […]

I can’t help but take the recent Fed decision to not immediately begin a tapering of asset purchases in the broader context. Given the size of its balance sheet (in excess of $3 trillion) and the long duration of its holdings ($1.8 trillion in assets maturing in more than 10 years and another $875 billion […]

With the S&P 500 near all-time highs and trouncing seemingly every major investable asset class, I present you the CBOE S&P 500 PutWrite Index. Rather than owning the stocks of the underlying S&P 500, this index sells at-the-money put options on the S&P 500 and invests the cash proceeds into Treasury BIlls. The concept is […]

Empirical return distributions for a variety of assets (financial and non-financial alike) demonstrate high degrees of non-normality on account of positive excess (lepto)kurtosis and a degree of skew (negative or positive depending on the asset type). This feature of asset markets is not a novel concept and has been well-documented for quite some time. What […]


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