Emotional Cycle of Change: Putting Yesterday’s S&P and VIX Move into Numerical Context Yesterday (August 5), the S&P 500 moved more than 2% in a day for the second time recently. Volatility was also in some headlines. This was more unusual than July 24, when ABR Dynamic Funds, LLC last contextualized a market move. Here’s where yesterday sits in historical context: The S&P 500 was down 2.99% on August 5. This is fairly unusual, but hardly unheard of. - It has historically moved 3% or more on about 2% of days (about 5 times per year, on average). The VIX Index climbed 65% to 38.57. - However, the VIX Index is a calculation, not a tradable instrument. VIX futures climbed 41.71% (SPVIXSTR Index). - This is, roughly speaking, in a tie for second place with June 11, 2020, behind only “Volmageddon” (Feb 5, 2018). - Realized volatility is 19 (trailing one month), or 23 on a shorter window (trailing 2 weeks). * These are fairly routine numbers on an historical basis. The one-day “beta” of VIX futures to the S&P 500 was about -14. - This isn’t in the meat of the curve, but 8% of days have historically been more negative. - So it’s also not terribly extreme. The VIX Index climbed from below 20 to the high 30s in 2 days. - That’s faster even than Covid’s 4 days! There are no forward-looking takeaways here, only backward-looking context. Contains no advice of any kind. It is not possible to invest directly in an index. Past performance does not guarantee future results, and all investing involves risk, including the loss of principal.
关于我们
ABR Dynamic Funds strives to maximize risk-adjusted returns in scalable, systematic solutions.
- 网站
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https://www.abrfunds.com
ABR Dynamic Funds, LLC的外部链接
- 所属行业
- 金融服务
- 规模
- 2-10 人
- 总部
- New York City
- 类型
- 私人持股
- 创立
- 2015
地点
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主要
获取路线
US，New York City
ABR Dynamic Funds, LLC员工
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Andy Brindle
Fintech and markets executive. Litigation Consultant and Expert Witness
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Tyler Mullin
Director at ABR Dynamic Funds, LLC
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Joseph M. Valente
Chief Operating Officer & Chief Compliance Officer of Quantitative Investment Manager
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Jim Schwartz
Director of Trading at ABR Dynamic Funds, LLC
动态
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Join ABR Dynamic Funds, LLC's COO, John Grady, at the Hedgeweek U.S. Emerging Managers Summit 2024 on Thursday, June 6 in NYC. John will cover aspects of fund compliance and legal matters in his presentation. #HWEmergingManagersSummit
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We are incredibly proud of ABR's Zain Retherford winning the 2024 Olympic Team Trials at 65KG in Men's Freestyle for Team USA this past weekend! Join ABR Dynamic Funds, LLC in congratulating Zain and watch his post-match interview below where he talks about his journey to 2024 Olympic Gold and how ABR has helped support him along the way. https://lnkd.in/e-ZPXFbG
Zain Retherford I MFS 65 kg | 2024 U.S. Olympic Team Trials | Olympic Trials Champion
https://www.youtube.com/
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The alternative investments industry has long operated within a complex regulatory framework. In recent years, however, we have witnessed a surge in regulatory activity, presenting new and greater challenges for financial professionals seeking to leverage alternative assets for the benefit of their business and their clients’ goals. This new regulatory landscape can affect broker-dealers and registered investment advisers differently, while also having significant impact on investment sponsors and service providers, all of whom may, (or must), adjust their business practices as a result. ADISA ABR Dynamic Funds, LLC John Grady #ADISA #SEC #FINRA #NASAA #FinancialRegulation #AlternativeInvestments
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Join ABR Dynamic Funds, LLC's CEO, Taylor Lukof, tomorrow for ABR's annual webinar on "The Effect of Human Behavior on Volatility". https://lnkd.in/e_4P_cWp
I'm looking forward to hosting ABR Dynamic Funds, LLC's annual webinar tomorrow on "The Effect of Human Behavior on Volatility". Please reach out to?ABR?at?[email protected]?to register for one of our sessions.
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ABR Dynamic Funds, LLC is pleased to welcome Zain Retherford to our sales team. Zain will be working with ABR part-time as he focuses on the 2024 Olympics in Paris. After the Olympics, Zain transitions to a full-time role at ABR. Follow Zain's journey with ABR & USA Wrestling over the next 8 months! Please read the full press release below: https://lnkd.in/d_xNzjYR
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Why is maintaining diversification discipline so difficult for investors? In short, because portfolio laggards are a feature, not a bug. However, investors often feel compelled to modify their portfolios when a genuinely diversified investment lags behind recent stronger performers. Author?Joe Wiggins?has a good recent post on this topic.?Wiggins wrote, “because it is behaviourally difficult [and] not only means holding assets that will be a disappointment, but where we actively want them to disappoint in advance.?If we are appropriately diversified, we will look at our portfolio and see a collection of strong performers and laggards.?Rather than be comfortable with this as an inevitable feature of diversification however, we will have the urge to make changes.” ABR shared similar thoughts in our 2018 series on portfolio construction.?“If every investment wins at the same time, then there is a reasonable chance every investment will lose at the same time too.?Proper diversification means something is losing…most of the time.?That’s not a sign of a problem…; it is a sign of proper portfolio construction.?If you are properly diversified, you will always hate at least one of your investments.” To read more about embracing this feature of diversification, follow these links: ABR:?https://lnkd.in/d_ZmgeMj Wiggins:?https://lnkd.in/davh2KFR
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