Most of you probably read the New York Times Article published last week, about a former Target store manager who turned $500,000 into $12 million, using one of Wall Street's favourite trade, shorting the VIX. So how did he do it ??? I may have an idea how.
First thing first . I would like to apologize for not updating the blog since February. You are probably wondering what I've been up to during that time. Well , I've been busy developing and testing an algorithm strategy. If you remember back in November 2016, I've wrote about how absolute momentum worked well to select S&P 500 strategy . I took this simple idea and developed to full working strategy.
Here's a "simple" strategy that i discovered while researching volatility products such as XIV, VXX, etc. Im not an expert when it comes to volatility, but i've found that strategy very interesting and did some tests on it. There's seems to be numerous strategies out there that use volatility products to produce alpha. Some of of them can produce remarkable returns, however , huge drawdowns are often associated with those return. However the strategy below, which uses VVIX ( VIX or VIX ) , is simple and can be easily implemented by anyone.
Happy new year everyone and thank you for visiting Passivestor over the past year. I hope the information found here was helpful to you during the year. For 2017 , we plan to share more strategies and introduce an investment newsletter in April. We've been testing the strategy for the past 6 months and are currently testing with real cash. More info very soon.
A NEW section has been added to the site. MARKET UPDATE provides you with real time information of sectors and indices that we watched to make our investment decision every month. A lot more information will be added over the next few weeks. We encourage you to visit the page.
As of next month, email and password will be required to access it. Don't worry, it's completly FREE ! . do not hesitate to send me any feedback you may have on this new section and the blog in general. Thanks and all the best in 2017 :)
Early this summer, I wrote a post on Absolute Momentum, and how it could help you find stock that are trending. I've showed the results of the strategy, when applied to a 60/40 ETFs portfolio. I also provided an indicator which gives you the option to choose the assets to calculate absolute momentum.
In this post , I would like to test this strategy on the S&P 500 component, and see if we would get similar results as the 60/40 ETFs portfolio.