Reading Time: 3 minutesSeveral long term studies have presented compelling evidence, and fundamental reasoning, that trend following is an investing approach that delivers good risk adjusted returns. First up is AQR’s A Century of Trend Following Investing, where the authors present evidence to show that a combination of relatively simple trend strategies operating over 1, 3 and 12 … More The trend is my friend (again): business as usual after “wrong type of volatility”

Reading Time: < 1 minuteNo great surprise given the recent events in Cyprus, but as we can see from the chart below VSTOXX continues to trade at a higher level than the VIX or VFTSE volatility indices, continuing a trend that’s been evident since late 2011. (click to enlarge) In particular the Cyprus situation has seen the VSTOXX index … More Equity Market VolRadar : VSTOXX Trading At a Premium to VIX

Reading Time: 2 minutesMuch has been written recently on the remarkable compression in equity volatility and in particular the VIX, which is generally synonymous with equity vol. What I find amazing is the sheer breadth and depth of this volatility compression, across markets as demonstrated in the attached chart (as at 18 February 2013, source data: Bloomberg) which … More Volatility Radar : is there anything out there ?