Strategy or system directly correlated with Vix

Discussion in 'Strategy Development' started by OpenSource, May 2, 2009.

  1. Most of the systems that I use currently or have used in the past are inversely correlated with VIX -- if vix goes down, my systems do much better then the benchmark on that day -- sometimes a combination of 10 systems give an excess return of more than 1%. When the VIX goes up, the systems in aggregate underperform.

    So, all the systems seem to be high beta and indirectly correlated with Vix.

    My question is: Has anyone come across a broader philosophy, a strategy or systems that outperforms when the VIX is rising.

    Thanks.
     
  2. Read "Practical Speculation". There is a lot of information about the VIX in it. But can't say whether or not it will help you.
     
  3. Interesting...

    So if MOST of your systems are inversely correlated, ALL system are inversely correlated....

    MOST = ALL.... SOME = NONE????

    100% = !1
    !0 = 0%....

    Is this a trick question?