Research
We are always working on a number of research topics and some are listed below. Any comments, questions, or new information would be greatly appreciated.
Index Futures Portfolio
Generally investors build index-based portfolios by selecting a variety of index-based ETFs and assigning specific weightings and then periodically rebalancing. The same approach can also be used with index futures to build leveraged portfolios. We are experimenting with a broadly diversified equal-weighted portfolio (30-40 indexes) on both US and foreign exchanges and incorporating a speedbump hedge on the SPX.
Fast Cycling with Calendars
A fast cycling strategy can be created by repeatedly buying monthly or quarterly calendar spreads four or five highly liquid indexes. The position takes advantage of both index drift and the marginal benefit of longer-term options and an implied volatility that is higher than historic. The objective is to maintain index exposure as a contact fraction of the portfolio and grow it exponentially. However, both the IV/HV premium and the volatility skew between shorter and longer term options has to be monitored to ensure that the expected return doesn't go negative.