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Insights

Watch Out For Volatility Tourism And The End Of The Summer Calm

Summer will soon be coming to an end, and in the beautiful beach town of Laguna Beach summer tourism is reaching its crescendo like it does every year. This year, however, with booming equity markets, a general feeling of well-being, and little in the form of risk of wars and […]

The Perils Of Selling Volatility When Volatility Is So Low

Once the piece I wrote yesterday went online (“Why Is Volatility So Low and What Should We Do Now?”), I received a number of questions on why now is the time to quit selling volatility and be careful. Couldn’t we have said the same thing a few months, or maybe […]

Why Is Volatility So Low And What Should We Do Now?

Last week the VIX closed at one of its lowest levels in recent history. Why? And what can we do about it? In my view, there are a number of inter-related reasons why option prices and option implied volatility are so low, and they might suggest some ideas for portfolio […]

Three Tails Today: Fed, Fiscal and Frexit

If we look for macroeconomic and political conditions today that have the potential to result in large moves in the markets, three interrelated events immediately come to the forefront. The first is the Fed. Looking out to next year, will the monetary policy path end up being too hawkish, or […]

How To Position After This Market Surge? Follow Logic

Why is it that oftentimes markets move first and the economic justification (and punditry rationalizing the outcomes) follows? It is well known in the psychological literature that humans tend to favor consistent narratives. I am not a psychologist so will not dig deeper here. But if you scan the writings […]

How Should We Invest When Forecasting Becomes Tough? A Case For Protected U.S. Dollar Assets

When we look back at 2016, some very strange and counter-intuitive things happened in sequence. We believe this phenomenon will repeat in the years to come, and market participants just have to get used to investing with decreasing certainty in the background. First, both with Brexit and the U.S. elections […]

Is Inflation Really Back? What to Do Now in the Bond Market?

The BIG event in markets that has occurred this year is the massive selloff in global bonds, accelerating since the stunning victory of Donald Trump in the US elections. The common and widely held view, which now seems to be reflected in the bond markets, is this: (1) Fiscal stimulus […]

Why Having a Monetization Framework is So Important for Tail Risk Management

If you had left on the day of the US election at the market close and come back the next morning, you would look at your market screens and see that the equity markets, at least, had done barely anything. This would have completely hidden the amazing turn of events […]

How to Beat the Machines Before They Beat You

Algorithms and trading “machines” are everywhere. Indeed, I have to confess that I have created and managed several investment programs that are almost purely algorithmic, so I feel like I am betraying the confidence of the cult of systematic traders when I write a column on how to tackle the […]

A is for Apple…

It’s the day before the September FED and BOJ meetings. While all eyes are on Central Bank actions and speeches that will be out in the open tomorrow, the lull today should provide a few moments to go back to first principles of investing in stocks, bonds, cash, and on […]