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	<title>CXO Advisory &#187; Volatility Effects</title>
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			<item>
		<title>Simple Tests of VXX as Diversifier [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/19440/volatility-effects/simple-tests-of-vxx-as-diversifier/</link>
		<comments>http://www.cxoadvisory.com/19440/volatility-effects/simple-tests-of-vxx-as-diversifier/#comments</comments>
		<pubDate>Fri, 10 Feb 2012 11:05:39 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Strategic Allocation]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=19440</guid>
		<description><![CDATA[Market volatility tends to rise as returns fall. Does adding a proxy for U.S. equity market volatility to a diversified portfolio improve its performance? To check, we add iPath S&#38;P 500 VIX Short Term Futures (VXX) to the following mix of asset class proxies (the same used in &#8220;Simple Asset Class ETF Momentum Strategy&#8221;): PowerShares DB Commodity <a href="http://www.cxoadvisory.com/19440/volatility-effects/simple-tests-of-vxx-as-diversifier/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Predicting Stock Market Returns with Implied Index Volatilities [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/12757/volatility-effects/predicting-stock-market-returns-with-implied-index-volatilities/</link>
		<comments>http://www.cxoadvisory.com/12757/volatility-effects/predicting-stock-market-returns-with-implied-index-volatilities/#comments</comments>
		<pubDate>Mon, 06 Feb 2012 11:02:31 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=12757</guid>
		<description><![CDATA[Can investors usefully predict the short-term direction of the stock market by contrasting the outlooks implied by out-of-the-money (OTM) and at-the-money (ATM) market index options. In the October 2011 update of their paper entitled &#8220;Implied Volatility Spreads and Expected Market Returns&#8221;, Turan Bali, Ozgur Demirtas and Yigit Atilgan investigate the relationship between stock market index <a href="http://www.cxoadvisory.com/12757/volatility-effects/predicting-stock-market-returns-with-implied-index-volatilities/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/12757/volatility-effects/predicting-stock-market-returns-with-implied-index-volatilities/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Combining Realized Volatility and Simple Moving Averages [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/7901/volatility-effects/combining-realized-volatility-and-simple-moving-averages/</link>
		<comments>http://www.cxoadvisory.com/7901/volatility-effects/combining-realized-volatility-and-simple-moving-averages/#comments</comments>
		<pubDate>Fri, 03 Feb 2012 11:06:47 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Technical Trading]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=7901</guid>
		<description><![CDATA[...evidence indicates that focusing simple moving average trading rules on stocks with relatively high past-year volatility may be profitable. However, potential optimism in assumptions about trade timing and trading frictions for high-volatility stocks suggest caution for this finding.]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/7901/volatility-effects/combining-realized-volatility-and-simple-moving-averages/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Downside Beta Premium [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18855/volatility-effects/downside-beta-premium/</link>
		<comments>http://www.cxoadvisory.com/18855/volatility-effects/downside-beta-premium/#comments</comments>
		<pubDate>Wed, 18 Jan 2012 11:00:22 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18855</guid>
		<description><![CDATA[Can investors earn a reliable premium from stocks with high downside risk? In their January 2012 paper entitle &#8220;Sorting Out Downside Beta&#8221;, Thierry Post, Pim Van Vliet and Simon Lansdorp measure in four ways (including regular beta) the premium associated with stock sensitivity to market movements. They estimate excess market returns based on total returns of <a href="http://www.cxoadvisory.com/18855/volatility-effects/downside-beta-premium/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>VIX Calendar Effects [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18763/calendar-effects/vix-calendar-effects/</link>
		<comments>http://www.cxoadvisory.com/18763/calendar-effects/vix-calendar-effects/#comments</comments>
		<pubDate>Thu, 12 Jan 2012 11:00:28 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Calendar Effects]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18763</guid>
		<description><![CDATA[Does the S&#38;P 500 implied volatility index (VIX) exhibit systematic behaviors by day of the week, month of the year, turn-of-the-month (TOTM) or options expiration (OE)? If so, are the behaviors exploitable? Using daily closing levels of VIX since January 1990, daily opening levels of VIX since September 2003 and daily opening and closing levels <a href="http://www.cxoadvisory.com/18763/calendar-effects/vix-calendar-effects/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Trading Options on Volatility of Fundamentals [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18727/fundamental-valuation/trading-options-on-volatility-of-fundamentals/</link>
		<comments>http://www.cxoadvisory.com/18727/fundamental-valuation/trading-options-on-volatility-of-fundamentals/#comments</comments>
		<pubDate>Mon, 09 Jan 2012 11:06:11 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>
		<category><![CDATA[Fundamental Valuation]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18727</guid>
		<description><![CDATA[Are realized (actual historical) and implied volatilities the whole story for equity option valuation? In their December 2011 paper entitled &#8220;Fundamental Analysis and Option Returns&#8221;, Theodore Goodman, Monica Neamtiu and Frank Zhang investigate the extent to which the equity options market fails to recognize volatility of firm operations (accounting data) and whether any such failure is <a href="http://www.cxoadvisory.com/18727/fundamental-valuation/trading-options-on-volatility-of-fundamentals/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/18727/fundamental-valuation/trading-options-on-volatility-of-fundamentals/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Exploiting Idiosyncratic Volatility in Commodity Futures [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18423/volatility-effects/exploiting-idiosyncratic-volatility-in-commodity-futures/</link>
		<comments>http://www.cxoadvisory.com/18423/volatility-effects/exploiting-idiosyncratic-volatility-in-commodity-futures/#comments</comments>
		<pubDate>Thu, 05 Jan 2012 11:00:49 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Commodity Futures]]></category>
		<category><![CDATA[Momentum Investing]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18423</guid>
		<description><![CDATA[Can investors exploit idiosyncratic volatility exhibited by commodity futures? In their December 2011 paper entitled &#8220;Idiosyncratic Volatility Strategies in Commodity Futures Markets&#8221;, Adrian Fernancez-Perez, Ana-Maria Fuertes and Joelle Miffre investigate the usefulness of idiosyncratic volatility as a predictor of commodity futures returns. They define idiosyncratic volatility of commodity futures as return volatility not explained by contemporaneous variation in <a href="http://www.cxoadvisory.com/18423/volatility-effects/exploiting-idiosyncratic-volatility-in-commodity-futures/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/18423/volatility-effects/exploiting-idiosyncratic-volatility-in-commodity-futures/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Adaptive Asset Allocation Policy [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18672/volatility-effects/adaptive-asset-allocation-policy/</link>
		<comments>http://www.cxoadvisory.com/18672/volatility-effects/adaptive-asset-allocation-policy/#comments</comments>
		<pubDate>Tue, 03 Jan 2012 11:06:19 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Strategic Allocation]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18672</guid>
		<description><![CDATA[Are the relatively placid financial markets of the American Century evolving to a high-volatility regime in a more evenly competitive world? In his December 2011 paper entitled &#8220;Adaptive Markets and the New World Order&#8221;, Andrew Lo examines the implications of the Adaptive Markets Hypothesis (AMH), wherein &#8220;markets are not always efficient, but they are usually highly competitive <a href="http://www.cxoadvisory.com/18672/volatility-effects/adaptive-asset-allocation-policy/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/18672/volatility-effects/adaptive-asset-allocation-policy/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Leveraged Style ETF (2X and -2X) Momentum Strategy [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18462/volatility-effects/leveraged-style-etf-2x-and-2x-momentum-strategy/</link>
		<comments>http://www.cxoadvisory.com/18462/volatility-effects/leveraged-style-etf-2x-and-2x-momentum-strategy/#comments</comments>
		<pubDate>Fri, 30 Dec 2011 11:07:47 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18462</guid>
		<description><![CDATA[A subscriber suggested applying a simple momentum trading strategy to a set of leveraged equity style (size, value-growth) exchanged-traded funds (ETF), including leveraged long and leveraged short counterparts to exploit both positive and negative markets. It seems plausible that leverage may make funds react quickly and strongly to business cycle shifts that affect style performance. However, the costs <a href="http://www.cxoadvisory.com/18462/volatility-effects/leveraged-style-etf-2x-and-2x-momentum-strategy/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/18462/volatility-effects/leveraged-style-etf-2x-and-2x-momentum-strategy/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Leveraged Sector Fund Momentum Strategy [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18347/volatility-effects/leveraged-sector-fund-momentum-strategy/</link>
		<comments>http://www.cxoadvisory.com/18347/volatility-effects/leveraged-sector-fund-momentum-strategy/#comments</comments>
		<pubDate>Thu, 22 Dec 2011 11:01:11 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18347</guid>
		<description><![CDATA[A subscriber suggested applying simple momentum trading strategies to a set of leveraged equity style (size, value-growth) funds. It seems plausible that leverage may make funds react quickly and strongly to business cycle shifts that affect style performance. However, the costs of maintaining leverage are countervailing. Historical data for leveraged style funds is very limited, so we <a href="http://www.cxoadvisory.com/18347/volatility-effects/leveraged-sector-fund-momentum-strategy/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/18347/volatility-effects/leveraged-sector-fund-momentum-strategy/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
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