Quantitative approach to riding the stock market volatility
Thursday, June 18, 2015
Treasuries vs. stocks: the trade is still valid
I’m advocating this trade since the beginning of 2014 and now, after the bond market downfall of 2015, this trade looks promising again.
The chart shows volatility-normalized pair TLT vs. SPY. Eeach side of the pair is being normalized on one-month realized volatility, rebalancing daily. Expences not included.
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