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Enhancing multi-asset portfolio performances with market timing using the Vix
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| 2.59 MB | Adobe PDF |
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Orientador(es)
Resumo(s)
The ‘Fear gauge’, more commonly known as the VIX, or Market Volatility Index of the
Chicago Board Options Exchange, is a popular market indicator which translates the degree
of uncertainty in the market. This paper aims to exploit market timing using the VIX to
enhance multi-asset portfolios performance. The strategy provides better performance than a
simple risk-parity approach and works as a great diversifier of risk. Stocks/Bonds
relationship and Style timing are both used effectively to enhance returns. However, gold
fails to hedge against high volatility and other assets such as cash might be better options.
Descrição
Palavras-chave
Financial markets Asset management Trading strategy Volatility index Multi-asset Style timing