Ciao a tutti,

Nonostante questo ETN sia in giro da un po' mi è capitato solo ora di vederlo. Incuriosito ho dato un'occhiata al suo funzionamento. Sotto riporto qualche riga di descrizione presa dal web.

Mi piacerebbe conoscere la vostra opinione sul prodotto.
È solo una trovata per raccogluere un po' di denaro in gestione sfruttando risultati in back-testing basati su scelte di modello fatte ad hoc (ad esempio scegliendo le soluzioni che meglio avrebbero performato nel 2008)?
In altre parole, è un altro caso di overfitting o il prodotto può ritenersi valido?

Una breve descrizione:

"It is linked to the S&P 500 Dynamic VEQTOR Total Return Index, a benchmark that provides broad equity market exposure with an implied volatility hedge by dynamically allocating its notional investments among three components: equity, volatility, and cash.

The equity component of the underlying index is represented by the S&P 500 Total Return Index, while the volatility component consists of the S&P 500 VIX Short-Term Futures Index. The investment thesis behind the new ETN is this: equity market volatility tends to exhibit a negative correlation with performance of equity markets. So the underlying index will allocate a greater portion of its notional principal to equity markets (i.e., the S&P 500) during periods of low volatility and a greater portion to volatility futures during periods of high volatility.

In addition, the index maintains a “stop loss” mechanic that shifts the entirety of the index to cash under certain circumstances. That mechanism would kick in if the underlying index has lost 2% or more of its value over any five consecutive business day period.

The allocation between volatility and equities will depend on both the realized volatility and the presence of a volatility trend.With realized volatility of less than 10% and no volatility trend, the allocation to equity can go as high as 97.5%. If realized volatility spikes to more than 45% and an implied volatility uptrend is present, the equity allocation will drop to 60%.

So VQT is essentially a combination of SPY and VXX–the ETN from iPath linked to an index consisting of short-term VIX futures–with the allocations to these two asset classes changing based on market conditions. The new ETN offers a way for investors to maintain broad exposure to U.S. equity markets while hedging against a downturn. VQT should exhibit lower volatility than SPY, trailing behind the S&P 500 SPDR during bull markets but delivering better returns when markets slump. That’s because the correlation between the volatility and equity components of the index is close to -1.0.

VQT will charge an expense ratio of 0.95%."



Discussione iniziata da the learner in Categoria Trading Systems, Econometria nella data di 10-08-2015 00:23.