ZIV

The Logical-Invest newsletter for January 2019

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Must reads: Frank Grossmann’s article “How to Hedge in Times of Market Trouble” (Seeking Alpha, LI Blog) 2019 strategy updates (LI Blog) Protecting your money After almost 10 years of a continuous bull market and 2 years of exceptional growth (2016-2017), 2018 was the first year that the SP500 turned negative. Apart from the dollar index, most asset classes also fell. To make things worse, the S&P500 dropped -20% from the September highs during what is … Read more

Invest in VIX volatility using ZIV

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Update January 2017: The recent performance of investing in volatility can be seen here. You are probably wondering how we could achieve yearly performances of more than 50% with some of our rotation strategies. The reason is that the Maximum Yield Rotation Strategy and the Global Market Rotation Enhanced Strategy are investing in inverse volatility. Invest in inverse Volatility So, here are now some facts to show you why I like inverse volatility so much. … Read more

Harvesting Contango: How To Build An ETF Rotation Strategy With More Than 50% Annualized Returns

BlogotationstrategyMaximumYieldRotationStrategyMDY

In this paper I want to explain the readers how the Maximum Yield Rotation Strategy of www.logical-invest.com is built. This strategy harvests the so called Contango. Harvesting Contango by investing in inverse volatility This Strategy harvests contango and achieves very high returns investing in inverse volatility. From 2011 to today the annual performance was more than 70% per year. Year to date the performance is 40.9%. The Sharpe Ratio (Return/Risk) of 2.12 is a “DREAM VALUE” … Read more

Volatility Premium – Why we invest in ZIV and not in XIV

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Several times I have been asked why we invest in ZIV (inverse mid-term volatility) and not in XIV (inverse front month volatility) in our Maximum Yield Rotation Strategy and in the “Global Market Rotation Enhanced Strategy” to harvest the volatility premium. Harvest Volatility Premium smartly After all, front month VIX Future contango is about 2-3x bigger then medium term contango. At the moment XIV profits from nearly 9% monthly VIX Futures contango. ZIV profits from about 3% … Read more

Risk Management using Timed Hedging – Avoid DrawDowns

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As you perhaps know I have invested all my money in my own strategies, and I and my family (the best wife of all and 4 nice children) are living from the return of these investments. So, I just cannot afford to lose much money in market corrections. Therefore I always try to improve the strategies to lower the risk of major losses through hedging. Timed Hedging The new “Timed hedging” is a major improvement … Read more

Short Volatility: A short analysis of the actual ZIV performance after the July 2014 stock market selloff

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This monthly premium of being short volatility is the only thing which makes the ZIV price go up. Unfortunately there is a second quite strong influence on the ZIV price. This is the market volatility (VIX). In the chart below you see the green VIX chart. Every spike corresponds to a fear spike of the investors. During such spikes we also have smaller market corrections. During these market corrections ZIV is going down, because the … Read more

Strategies For Trading Inverse Volatility

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Update: You can see the most recent performance our our inverse volatility strategy here. Consult vixcentral for the daily VIC term curve. In this paper, I present five different strategies you can use to trade inverse volatility. Why trade inverse volatility you ask? Because since 2011, trading inverse volatility was probably the most rewarding investment an investor could make in the markets. Annual returns of between 40% – 100% have been possible which crushes any other … Read more

New Maximum Yield Rotation Strategy backtest charts

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Here are two backtests charts of the new MYRS strategy with adaptive allocation, now also suitable for your retirement account. The annual return of the old and the new strategy is more or less the same. During low volatility markets, the return of the new strategy is probably slightly lower, however during difficult volatile years like 2014, the return of the new strategy is significantly higher and the drawdowns and the risk is reduced nearly by a … Read more

Shorting Volatility: Comparison of ZIV replacements in MYRS

Shorting Volatility with ZIV

Here is a comparison of different ZIV replacement ETFs in the MYRS strategy, shorting volatility. Going long ZIV is the most simple way to execute the strategy. ZIV is in fact an inverse ETF, so even if ZIV does not have leverage, ZIV needs to be rebalanced daily. Rebalanced ETFs in general have losses. These losses become bigger with higher volatility.  Shorting Volatility the smart way On the chart below you can see the quite poor ZIV performance … Read more

The Logical-Invest monthly newsletter for June 2015

This is the monthly monthly Logical-Invest newsletter for June 2015. From now on this newsletter will replace the individual comments for the single strategies. The newsletter includes a strategy performance overview which can help you to switch between strategies. The same table is available if you login to your logical invest account at “My Account” and select the strategy performance menu. The table on the website is a dynamic table and will be updated every day. This way … Read more