Strategy or system directly correlated with Vix

O

OpenSource

Most of the systems that I use currently or have used in the past are inversely correlated with VIX -- if vix goes down, my systems do much better then the benchmark on that day -- sometimes a combination of 10 systems give an excess return of more than 1%. When the VIX goes up, the systems in aggregate underperform.

So, all the systems seem to be high beta and indirectly correlated with Vix.

My question is: Has anyone come across a broader philosophy, a strategy or systems that outperforms when the VIX is rising.

Thanks.
 
Read "Practical Speculation". There is a lot of information about the VIX in it. But can't say whether or not it will help you.
 
Quote from OpenSource:

Most of the systems that I use currently or have used in the past are inversely correlated with VIX -- if vix goes down, my systems do much better then the benchmark on that day -- sometimes a combination of 10 systems give an excess return of more than 1%. When the VIX goes up, the systems in aggregate underperform.

So, all the systems seem to be high beta and indirectly correlated with Vix.

My question is: Has anyone come across a broader philosophy, a strategy or systems that outperforms when the VIX is rising.

Thanks.
More...

Interesting...

So if MOST of your systems are inversely correlated, ALL system are inversely correlated....

MOST = ALL.... SOME = NONE????

100% = !1
!0 = 0%....

Is this a trick question?
 
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