How is a managed future strategy different from simply trading the VIX?

Blimey.
Whether you need all that power or an army of phds is a moot question, but there is an awful lot more to this than just being 'long the VIX'

Rather than trading one future, you're probably trading over a hundred. Also you're going long and short. And if anything you spend more time being short the VIX specifically than long it.

Here's a graph of being long VIX
Figure_1.png


Here's my own trading strategy live returns (it's basically a CTA style but with zero phds)
Figure_2.png


Here's the HFRI index referred to in the article
Screenshot%20from%202022-05-25%2011-11-41.png


Spot the difference?

The correlation between the VIX and the other two graphs is close to zero.

GAT
 
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tonyf said:
What about year to date?
More...

YTD, they are all up. But what does that prove?

The correlation of daily returns for the YTD period (Long VIX, my CTA) is 0.07. Basically noise.

Correlation of monthly returns is -0.29 FWIW (only 5 observations)

GAT
 
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globalarbtrader said:
YTD, they are all up. But what does that prove?

The correlation of daily returns for the YTD period (Long VIX, my CTA) is 0.07. Basically noise.

Correlation of monthly returns is -0.29 FWIW (only 5 observations)

GAT
More...

Got you GAT.

Reading your blog now. This is way out of my skillset but nice reading about it all.
 
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