Volatility-based Market-timing & Tactical Asset Allocation
Presentation at Attica Bank, Athens, for the Hellenic Chapter of MTA
We investigate how US stockmarket volatility indices such as the VIX, and other technical or stochastic econometric estimations of historical volatility can be used to create a series of indicators that allow for a more efficient reallocation of portfolio funds between low and high risk assets. Our results show that drawdowns and portfolio risk can be reduced considerably while returns are increased. Our strategy is characterized by low computational complexity and shows resilience to both 2001 and 2008 market crashes. Moreover, it can form the core of an algorithmic-based investment approach for small, more active higher-frequency retail investors as well as larger passive ones which require fewer trades and lower commission expenses.
Volatility-based Market-timing & Tactical Asset Allocation
Presentation at Attica Bank, Athens, for the Hellenic Chapter of MTA
We investigate how US stockmarket volatility indices such as the VIX, and other technical or stochastic econometric estimations of historical volatility can be used to create a series of indicators that allow for a more efficient reallocation of portfolio funds between low and high risk assets. Our results show that drawdowns and portfolio risk can be reduced considerably while returns are increased. Our strategy is characterized by low computational complexity and shows resilience to both 2001 and 2008 market crashes. Moreover, it can form the core of an algorithmic-based investment approach for small, more active higher-frequency retail investors as well as larger passive ones which require fewer trades and lower commission expenses.
Επιδότηση έως 45% για δραστηριότητες εναλλακτικού τουρισμού (θαλάσσιος, ιαματικός, αθλητικός, γαστρονομικός, οινογευστικός, περιπατητικός). Υποβολή προτάσεων έως 15/11/2011. Για περισσότερες πληροφορίες, 2103608609, info@wintowin.gr
Επιδότηση έως 45% για δραστηριότητες εναλλακτικού τουρισμού (θαλάσσιος, ιαματικός, αθλητικός, γαστρονομικός, οινογευστικός, περιπατητικός). Υποβολή προτάσεων έως 15/11/2011. Για περισσότερες πληροφορίες, 2103608609, info@wintowin.gr
3. 3
DDDDiiiissssccccllllaaaaiiiimmmmeeeerrrr
Risk Warning: Contracts for Difference (‘CFDs’) are complex financial products that
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investors because you may lose all your invested capital. You should not risk more than
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understand the risks involved taking into account your investment objectives and level
of experience. Past performance of CFDs is not a reliable indicator of future results.
Most CFDs have no set maturity date. Hence, a CFD position matures on the date you
choose to close an existing open position. Seek independent advice, if necessary.
DeltaForex Group is the trading name of Praxis Project promoting sales & services
single person PC, a registered company in Greece with registration num.
127372001000, which operates as an Introducer of FxPro Financial Services Limited an
investment firm that is authorised and regulated by the Cyprus Securities and
Exchange Commission (license number 078/07)
14. 14
ΜΜΜΜεεεεττττοοοοχχχχέέέέςςςς ΗΗΗΗ....ΠΠΠΠ....ΑΑΑΑ.... ΑΑΑΑΠΠΠΠΟΟΟΟΔΔΔΔΟΟΟΟΣΣΣΣΕΕΕΕΙΙΙΙΣΣΣΣ
USA stocks 2008 – 2014 Daily Intraday Overnight
Close-Close Open-Close Close-Open
Alcoa Inc. (AA) -65.50% -95.80% 723.60%
American Express Company (AXP) 79.40% 154.50% -30.60%
The Boeing Company (BA) 43.10% 34.90% 6.00%
Caterpillar Inc. (CAT) 41.20% -54.60% 208.50%
The Walt Disney Company (DIS) 148.60% 347.20% -44.60%
General Electric Company (GE) -29.70% -88.20% 498.30%
International Business Machines Corporation (IBM) 81.60% 479.90% -68.70%
Intel Corporation (INTC) 3.90% 27.30% -20.70%
Johnson & Johnson (JNJ) 47.80% 19.40% 24.10%
Wal-Mart Stores Inc. (WMT) 63.90% 113.30% -23.70%
The Procter & Gamble Company (PG) 10.30% 81.20% -39.20%
SSoouurrccee:: IIMMAARR && YYaahhoooo FFiinnaannccee
15. 15
ΜΜΜΜεεεεττττοοοοχχχχέέέέςςςς ΗΗΗΗ....ΠΠΠΠ....ΑΑΑΑ.... ΔΔΔΔΙΙΙΙΑΑΑΑΚΚΚΚΥΥΥΥΜΜΜΜΑΑΑΑΝΝΝΝΣΣΣΣΕΕΕΕΙΙΙΙΣΣΣΣ
USA stocks 2008 – 2014 Daily Intraday Overnight
Close-Close Open-Close Close-Open
Alcoa Inc. (AA) 0.0328 0.0258 0.0174
American Express Company (AXP) 0.0296 0.025 0.0139
The Boeing Company (BA) 0.0206 0.0166 0.0112
Caterpillar Inc. (CAT) 0.0237 0.0194 0.0136
The Walt Disney Company (DIS) 0.0201 0.0164 0.0103
General Electric Company (GE) 0.0235 0.0196 0.0146
International Business Machines Corporation (IBM) 0.0151 0.0122 0.0089
Intel Corporation (INTC) 0.0203 0.0168 0.0114
Johnson & Johnson (JNJ) 0.0112 0.0095 0.0059
Wal-Mart Stores Inc. (WMT) 0.0128 0.0111 0.007
The Procter & Gamble Company (PG) 0.0124 0.0105 0.0065
SSoouurrccee:: IIMMAARR && YYaahhoooo FFiinnaannccee