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Just an idea:
If your strategy is inversely correlated with VIX, probably It means that you are picking just high beta stock.
In fact, VIX and SP500 are highly inversely correlated (from 1998 is -0.75) so your strategy probably are also veri inv. correlated with market, so your stocks/strategy must have high beta.
You are studing market neutral strategy?with futures hedging perhaps?
Analyse the beta of your strategy can help you: to isolate the alpha and to understand if and how you can produce alpha
Maybe you can try to immune your portfolio with "beta"-hedging to isolate alpha.
I want to add just one thing: the big increase of volatility happen often at the start of a bear market, just he moment that the trend follower / Momentum strategy underperform, so I can think in general that momentum strategy are affected by the volatility jump.
--- In equismetastock@xxxxxxxxxxxxxxx, Rajiv Vyas <rajiv1@xxx> wrote:
>
> Most of the systems that I use currently 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.
> My experience tells me that most systems (at least those in the public
> domain) and TA in general, are inversely correlated to volatility i.e. they
> outperform the bench when volatility goes down.
>
> So, my question is: Has anyone come across a broader philosophy, or a
> strategy or systems that outperforms when the VIX is increasing.
>
> Thanks,
>
> --
> Rajiv
>
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