Value Investing Strategy (Strategy Overview)
Allocations for September 2024 (Final)
Cash TLT LQD SPY
Momentum Investing Strategy (Strategy Overview)
Allocations for September 2024 (Final)
1st ETF 2nd ETF 3rd ETF
VIX Seasonality
August 5, 2024 • Posted in Calendar Effects, Volatility Effects
Does the CBOE Volatility Index (VIX) exhibit exploitable seasonality? To investigate, we calculate by calendar month and compare average monthly:
- Change in VIX.
- Return for ProShares VIX Short-Term Futures ETF (VIXY).
- Return for ProShares Short VIX Short-Term Futures ETF (SVXY).
Using monthly closes of VIX since January 1990, monthly split-adjusted closes for for VIXY since inception in January 2011 and monthly split-adjusted closes for SVXY since inception in October 2011, all through June 2024, we find that: (more…)
Please log in or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more! Learn more