GAT, any performance update scheduled? Eager to see how you've done year-to-date. Another question: it seems you're short VIX for its risk premium by default. Aren't you worried about spikes in low-vol enrvironments? And can the mean-reversion VIX be captured by trading futures? Thanks a bunch, it's great to have someone around on ET with actual knowledge of systematic trading.
All CTAs are in the machine-learning buzzword-bingo game now, on a belief it's what clients want to hear. But it is notable the BBG article gave AHL as much airtime as Winton. Usually David Harding is the media go-to for a soundbite.
I'll be doing a full year review on my blog to cover the entire UK tax year, probably in a couple of weeks or so. I have a trend following and carry system on VIX which should help reduce my position when vol spikes. What precisely do you mean by "the mean reversion in VIX"? GAT
How far out do you trade VIX? I'm a little concerned that a repeat of the 2007 spike could catch me unaware. Is that something I need to worry about? (VIX, panama stitch, traded 3 months out)
I meant that the VIX (spot) index is stronly mean-reverting. Is that a property that can be exploited trading futures?
Not exactly because you can't "own" VIX spot. Owning front VIX will be the closest match but then that has other nasty properties (the largest skew and kurtosis, compared to owning further out months). As an aside is isn't as easy to make money on a mean reverting index as you might think if you glance at a chart (which of course involves forward information) and say "oh looky it always comes back to a level of 15". Nevertheless at first glance it looks like you could probably make some dough trading front VIX on a mean reverting basis. I wouldn't do it myself because I'm not keen on signals that only work on one market (or maybe two, eurostoxx vol). GAT