Allocation change
The Alpha strategy will change allocations at today’s close and move from cash to XIV. Contango has strengthened again and looks to stay strong in the near future as December becomes the front month.
With a VIX near 15, I’m not expecting this trade to generate high returns like the previous two. Anything is possible though so I’ll keep an open mind.
Posted on November 21, 2012, in Alpha Strategy, Transactions. Bookmark the permalink. 5 Comments.
Thanks, Mike. And have a wonderful Thanksgiving.
Hope you have a great thanksgiving too!
Now, for a question: do you have any data on the performance of the Alpha System when a buy signal is generated while the VIX is so low?
The correlation between VIX levels at entry and trade return is very weak. That said, this will be the lowest VIX level for an entry post-2008.
I’ve been waiting on either a change in signal or until December 31 to invest a part of my portfolio in the alpha system. I decided to go with December 31 instead of the most recent signal change to wait and see how the fiscal cliff negotiations will play out and hopefully the vix will go higher to more comfortable levels by then.