标签: Mutual经管大学堂：名校名师名课

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分享 VIX Volatility: accumulation 2017-4-18 12:44; One view is that incorporating predictability in managerial skills is more important when investing in mutual funds than when investing in hedge funds. Another view is that the macroeconomic variables best suited for predicting hedge fund managerial skills differ from those best suited to mutual funds. VIX is constructed using the implied volatilities of a wide range of SP500 index options and is meant to be a forward looking measure of market risk. Some hedge fund investment styles (e.g. macro and trend following) outperform in times of high market volatility while others perform better in times of low market volatility. Hence, conditioning on VIX could allow one to better predict managerial skills by timing the performance of hedge fund investment styles over the volatility cycle.; 个人分类: 金融工程|0 个评论

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