The National Association of Active Investment Managers (NAAIM)
has named Rob Hanna of Capital
Advisors 360 as the 2024 winner of its annual white paper
competition, the NAAIM Founders' Award. Hanna's paper, titled
"Chicken and Egg: Should you use the VIX to time the SPX? Or use
the SPX to time the VIX?," challenges the prevailing market wisdom
by maintaining that S&P 500 Index (SPX) action offers a more
reliable basis for forecasting the CBOE Volatility Index (VIX)
movement than VIX action does in forecasting SPX movement.
LITTLETON, Colo., May 7, 2024
/PRNewswire-PRWeb/ -- The National Association of Active Investment
Managers (NAAIM) has named Rob Hanna
of Capital Advisors 360 as the 2024 winner of its annual white
paper competition, the NAAIM Founders' Award.
"I believe most traders have been getting
it wrong for years. Rather than using the VIX to predict SPX
movement, more substantial edges lie in using SPX to predict
movement of VIX-based products," explains Hanna.
Hanna's paper, titled "Chicken and Egg: Should you use the VIX
to time the SPX?
Or use the SPX to time the VIX?," challenges the prevailing
market wisdom by maintaining that S&P 500 Index (SPX) action
offers a more reliable basis for forecasting the CBOE Volatility
Index (VIX) movement than VIX action does in forecasting SPX
movement.
"I believe most traders have been getting it wrong for years.
Rather than using the VIX to predict SPX movement, more substantial
edges lie in using SPX to predict movement of VIX-based products,"
explains Hanna.
"Rob Hanna's paper walks the
reader through the history and construction of the VIX and how it
has moved during major market sell offs. It's an excellent overview
of the interaction between the SPX and the VIX and why the VIX is
actually a poor indicator of SPX moves," said Ryan Redfern, NAAIM president and founder of
Shadowridge Asset Management LLC. "He wraps up with a relatively
simple model for trading VIX-based products for a potentially
profitable trading strategy."
The chicken and egg reference in Hanna's title refers to not the
question of whether the chicken or the egg came first but whether
egg weight influences the size of the chicken and whether heavier
chickens produce larger eggs. Hanna concludes that
overbought/oversold SPX readings produce a more sizable edge in
anticipating VIX futures movement than overbought/oversold VIX
readings produce an edge in anticipating SPX moves.
Hanna's paper has significant value to traders given the growing
use of VIX movements in analyzing future market performance.
Hanna presented his "Chicken and Egg" paper and how it can be
used to trade VIX-based investment products on Wednesday morning,
May 1 at the Rosen Shingle Creek
Resort in Orlando, Florida.
To receive a copy of the full paper, visit: Find A White
Paper
About Rob Hanna:
Rob Hanna is a Registered
Investment Adviser Representative of Eastsound Capital Advisors,
LLC d.b.a. Capital Advisors 360, where he manages numerous
short-term quantitative stock and bond models, as well as VIX-based
models and VIX option overlay strategies. He has worked as a
full-time market professional since 2001, managing a private
investment fund prior to joining CA360.
Hanna also runs QuantifiableEdges.com, focusing on quantitative
market analysis. Quantifiable Edges provides research for
individuals and institutions via a website and subscriber letter,
published five nights a week, and hosts courses on VIX trading,
market timing, and short-term trading. Hanna is a graduate of the
Boston College Carroll School of
Management. He lives and works in Massachusetts, serving institutional and
individual clients across the US and abroad.
About the NAAIM FOUNDERS AWARD:
Launched in 2009, the NAAIM Founders Award is designed to expand
awareness of active investment management techniques and the
results of active strategies through the solicitation and
publication of research on active management. $5,000 is presented annually for the best paper
submitted to the competition.
The National Association of Active Investment Managers (NAAIM)
is a non-profit trade group of 125 member firms nationwide,
collectively managing over $15
billion annually. NAAIM's purpose is to promote the common
interests of those investment advisors who provide active
investment management services to clients. NAAIM's many
professional development opportunities are headlined by its annual
conference – Uncommon Knowledge – which is held each spring in
locations around the U.S. Other events are held several times a
year on timely topics for our members, as are teleconference and
webinar events. For more information, visit www.naaim.org
Media Contact
David Daughtrey, National
Association of Active Investment Managers, 1 303-979-1280,
info@naaim.org, www.naaim.org
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SOURCE National Association of Active Investment Managers