Monday, April 6, 2015

PONZO Risk Forecast for SPY and VIX....04.06.15

Here's the weekly update of the S&P and VIX 18 week risk forecasts.  Keep in mind that the S&P forecast is based on 50 years of S&P data while the VIX is based on 25 years, slightly after its inception.
As a point of interest...if we use the SPY ETF as the S&P proxy and calculate a risk profile based on 25 years of SPY data the NET 14 day risk profile deteriorates to negative 80% versus the 54% generated by a 50 year backtest.
Yes, I can both SPY and VIX have projected negative risk profiles? Obviously the volatility conundrum that has plagued the markets for the past several months is alive and well and until XIV (VIX inverse) and SPY get back into sync this disparity will continue.