Tag Archives: mean reversion
A new volatility regime? VIX® don’t think so!
Global equity markets experienced a challenging February. A U.S.-led selloff triggered a spike in volatility; the Cboe Volatility Index (VIX) recorded its largest ever daily increase on February 5 to reach its highest level since August 2015. But is higher volatility here to stay? Towards the end of last year, we published a paper –…
The Commodity Flip NOT Flop Of 2014
Six months ago, commodities looked like they were on the brink of a comeback. The S&P GSCI Total Return gained 7.4% YTD through June 20 at its high. Back then, almost a record number of commodities, 12, were in backwardation, reflecting shortages in Brent Crude, Cocoa, Copper, Corn, Cotton, WTI Crude Oil, Feeder Cattle, Gold, Live Cattle, Natural Gas, Soybeans and Unleaded…
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