Stockmarket Risk Index (US)

Meaning and Description of current level
  • unknown stock market risks appear to be neutral
  • average P/E ratio at loading
  • 2Y/10Y Yield Spread at loading
  • stock/bond 30-day-average return is in favour of stocks
  • S&P500, NASDAQ100, RUSSEL2000 5-day-average return of loading%
  • volatility at level (CBOE VIX at loading)
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Updated on  .

SIRIUS - Portfolio

This portfolio is based on the Stockmarket Risk Index (US). It is constantly invested in the S&P500 but sometimes hedged with a VIX-Long position. The relative amount of the VIX-Long position is controlled by SIRIUS. At times when volatility is low, SIRIUS increases the VIX hedge to achieve relative outperformance to the S&P500 short-, mid- and long-term. When volatility rises the VIX-Long position return is used to increase the exposure to the S&P500.
What's VIX?
VIX is short for Chicago Board Options Exchange Volatility Index and prices the 30-day implied volatility for the S&P500. Hedging an S&P500 long position can simply be done by buying some sort of VIX security. Because volatility break-outs can result in big relative gains ranging from 10% to even 40% on a single day you usually do not need big exposure to VIX to mitigate S&P500 declines.