In the April 2013 version of his paper entitled «Easy Volatility Investing» (the National Association of Active Investment Managers» 2013 Wagner Award runner - up), Tony Cooper explores the rewards and risks of five volatility trading strategies including simple buy - and - hold, price momentum, futures
roll yield capture, volatility risk premium capture and dynamic hedging.
Not exact matches
They also propose a trading strategy designed to
capture VIX futures
roll yield that pairs VXX with SPDR S&P 500 Trust ETF (SPY) as a hedge and XIV with ProShares Short S&P 500 ETF (SH) as a hedge.
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They also propose a trading strategy designed to
capture VIX futures
roll yield that pairs VXX with SPDR S&P 500 Trust ETF (SPY) as a hedge and XIV with ProShares Short S&P 500 ETF (SH) as a hedge.
Roll yield, a source of profits for trend followers, is the return
captured when a futures contract converges to the spot price.
An overweight to commodities in backwardation (or in less - extreme contango) in order to
capture a relatively high and attractive
roll yield, and an overweight to commodities with higher recent performance in order to benefit from short - term persistence in commodity price movements (i.e., positive momentum), can have meaningfully positive impacts on portfolio performance.3, 4 We compare the performance of four portfolios — high versus low
roll yield and high versus low momentum — from January 1999 to June 2016.