tag:blogger.com,1999:blog-11027528911364475.post8585965837315890429..comments2024-02-18T21:10:05.205-08:00Comments on EconomPic: Model Building / Data MiningJakehttp://www.blogger.com/profile/07946497592651234440noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-11027528911364475.post-45501574273506680192012-01-14T21:10:39.901-08:002012-01-14T21:10:39.901-08:00The average one-month forward return of each perio...The average one-month forward return of each period when the VIX was > 25 since 2007 was 1% (more than 12% annualized) vs. 1.5% from 1999-2003. Lower, but still strong albeit HUGE volatility.Jakehttps://www.blogger.com/profile/07946497592651234440noreply@blogger.comtag:blogger.com,1999:blog-11027528911364475.post-83126279142899615482012-01-14T15:07:14.309-08:002012-01-14T15:07:14.309-08:00Heading into the heights of the TMT bubble in 2000...Heading into the heights of the TMT bubble in 2000 we saw a most unusual phenomenon: implied volatility levels increasing at a time when stock returns were also increasing. This is a very rare phenomenon, and occurred for a few years. If you remove that part of the time series, investing in SPY when VIX above 25 looks very different in terms of your total return outcomes.....Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-11027528911364475.post-61366956387889743172012-01-12T10:29:05.467-08:002012-01-12T10:29:05.467-08:00Quick and dirty thoughts based purely on my initia...Quick and dirty thoughts based purely on my initial judgement...<br /><br />When the VIX is between 17.5 and 25, investors are becoming a bit more concerned than history would imply (i.e. levels are above historical averages), so marginal investors are selling out of concern and a lack of value. <br /><br />When VIX levels are low, investors can't see any concerns in the macro / investing environment and recent realized volatility levels are low, thus investors pile into equities, driving them to richer valuations.<br /><br />When VIX levels are high, something bad has happened and overly cautious investors have sold out of "risky" equities, creating value for investors willing to take risk.<br /><br />Anyone else want to opine?Jakehttps://www.blogger.com/profile/07946497592651234440noreply@blogger.comtag:blogger.com,1999:blog-11027528911364475.post-1926369671152060592012-01-12T10:16:00.377-08:002012-01-12T10:16:00.377-08:00very interesting observations. I am just wondering...very interesting observations. I am just wondering the economic reason SPX performed badly when VIX was between 17.5 & 25, while did well out of the range, any intuition behind that? thanks.abiaohttp://www.mathfinance.cnnoreply@blogger.com