Quant Mashup - Blue Sky AM
Looking Forward Not Backward When Estimating Volatility [Blue Sky AM]
When you drive a car, you need to look out your front window and not the rear-view mirror. The same should be true for estimating risk in financial markets. Ironically, most of the “low volatility” products use backward looking information regardless of whether they emphasize low beta or low
- 7 years ago, 1 Dec 2016, 07:51pm -
What is the Proper Benchmark for Momentum or Trend-Following Strategies? [Blue Sky AM]
Most academics and practitioners tend to compare momentum or trend-following strategies to a buy and hold investment strategy. They do so by comparing the results of the strategies to a benchmark that is a proxy for buy and hold. From this type of analysis many ‘experts’ justify why the
- 8 years ago, 25 Jul 2016, 07:59pm -
Volatility Futures and S&P500 Performance [Blue Sky AM]
Do Volatility Futures Provide Useful Information for Future S&P500 Performance? Volatility or VIX Futures are based on the S&P500 index and are calculated from the implied volatility of different option strike prices across different expiration periods. In contrast to the VIX index, VIX
- 8 years ago, 22 Feb 2016, 11:39am -
Managing Risk in Retirement: Part II [Blue Sky AM]
The Challenge of Being a Passive Investor Investors face the prospect of poor expected long-term returns making buying and holding less desirable for both equity and bond holders Given that bond yields are so low, investors are being forced to hold risky assets such as equities to earn sufficient
- 8 years ago, 7 Feb 2016, 01:32am -
Monthly Commentary: December 2015 [Blue Sky AM]
The past year was challenging for investors and particularly difficult for investors in strategies like ours. At Blue Sky our goal is to provide consistent results in any environment, however in 2015 we failed to achieve that goal. Our Dynamic Asset Allocation Strategies strive to do well in bull
- 8 years ago, 11 Jan 2016, 10:47pm -