correlation goldman sachs hedge funds volatility

Good News: Hedge Funds Might Have A Chance To Beat Benchmarks In 2017

So what does any of this mean for average investors? Well, intuitively, it means there's a chance for you to go out and find yourself some alpha by returning to your roots as an expert stock picker (boy, this post is just dripping with sarcasm).

Ok, so low vol, right? Like, super low. Like, "bigly" low. Err, "big league". Whatever. Let's just call it "historic": (Goldman) That's absurd. In case you haven't heard, there's a semi-global populist uprising afoot that threatens to overthrow the established world order in favor of some kind of neo-nationalism nonsense that's almost guaranteed to crimp global trade and commerce and may even trigger the largest sovereign default in recorded history (France has something like €1.7 trillion in public debt that Le Pen has promised to redenominate). So why is vol so low? Well, one reason may well be that headline VIX just doesn't do a very good job capturing market angst thanks to changes in market microstructure (think the proliferation of vol ETPs - or, as I like to call them, the worst thing that's ever happened to retail money). Who knows. But what we do know is that collapsing correlations between stocks, is probably suppressing headline volatility. SocGen put this in the simplest possible terms earlier this month: From a technical perspective, index volatility is a function of not only average single stock volatility, but also of how stocks within S&P 500 are movi
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1 comment on “Good News: Hedge Funds Might Have A Chance To Beat Benchmarks In 2017

  1. ANG Traders says:

    The VIX was at these levels in 1995 and in 2005. In the case of the former, the SPX rallied for 5 more years, while in the case of the latter, the rally lasted 2 more years.

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