VIX has spent the whole of August below 14, and remains – at time of writing – close to its lowest levels in two years. But the present calm may be dependent on a short-term seasonal effect; and we are approaching the traditional period where it ends. August is traditionally a quiet month for U.S. […]
Tim Edwards is director of Index Investment Strategy for S&P Dow Jones Indices. The group provides research and commentary on the entire S&P Dow Jones Indices product set, including U.S. and global equities, commodities, fixed income, and economic indices.
Prior to joining S&P Dow Jones Indices, Tim worked at Barclays Capital, where he had global responsibility for product development of exchange-traded notes across all asset classes, covering commodities, volatility, foreign exchange, fixed income and emerging markets.Tim holds a PhD in mathematics from University College London.
Author Archives: Timothy Edwards
The markets’ view of the pending British referendum on EU membership displays the hallmarks of a low probability, high impact event. Correlations, and volatility expectations, are the key indicators. When macroeconomic risk is dominant, as a select few narratives come to preoccupy investors, correlations increase. For example, in August and September 2015, markets worldwide were roiled […]
As you, dear patient reader, have no doubt noticed, volatility is back. The VIX® has reached levels not seen since the peak of the Eurozone crisis over two years ago. The exact reasons might be debatable, but either way October is living up to its perennial reputation as the cruelest month for equities. Source: CBOE Each time […]
As investors, we necessarily rely on history. How we analyse that history is particular to each investor – some will look for technical patterns, some at fundamental data, still others will build quantitative models. But all of us need data, and history is our only source. We may have to rely on history; we don’t […]
No, our crack proofreading team didn’t muff the headline. After several weeks of seemingly unanimous commentary about how investor complacency has resulted in VIX® levels that are “too low,” we want to ask the contrarian question. Rather than being too low, why is the VIX so high? The question is germane because there has been […]
Volatility can feel like an earthquake. As many investors can painfully testify, the chart below is typical of volatility. A period of relative calm is disturbed first by a few small tremors, then by a precipitous rise. At this point, risk breaks all connections with its normal level and climbs rapidly to a crystalized zenith […]
Within the last week, we’ve read about threats of another war in the Middle East, collapsing currencies across emerging markets, imminent rumblings of yet another Greek bailout. As of this writing, there is one day left until the Fed’s much anticipated pronouncement on the “end” of QE. Talk abounds of September being the worst month […]