in energy prices, including all of the Canadian energy trusts, natural resource mutual funds (two of them), OIL and UNG, keeping the Blackrock Real Asset fund ( BCF), a closed end fund, to my chagrin and actually buying more of that one with cash flow. I have mentioned that different asset classes need to be evaluated separately to understand how to perform an asset allocation using volatility indexes. While VXD and VIX are similar to one another, I had to develop a separate analysis for RVX and VXN. Judging from the few months of data available on gold and oil, I will need to do a new analysis for the commodities. I am using my VIX model to time allocations to stocks, looking to the VXD model for confirmation, and then using the models on RVX and VXN to help me decide what to sell.VIX ASSET ALLOCATION MODEL: FORCED REDUCTIONS
Thursday, November 27, 2008
GOLD OIL and EURO CBOE VOLATILITY INDEXES
Before leaving this morning to eat my turkey and watch the Titans play, I just happened to check the CBOE website and found that there are three new volatility indexes: GOLD, OIL and the Euro currency.CBOE - Micro Site There are no new futures contracts yet for these new indexes and the charts provided do not provide enough history for me to develop a model. But it is something new for me to monitor and to play with. Gold (GVZ); OIL (OVX); EURO (EVZ). Of these, I will develop a model for both gold and oil which I do trade, in one form or the other. Since I will always sell into parabolic moves of any asset class, I no longer have a position in OIL, UNG or GLD. I was trying to figure out when to buy again. I have dipped my toe back into the water by buying Yamana Gold AUY: Summary for YAMANA GOLD INC - Yahoo! Finance and small positions in a few canadian energy trustsHome Prices/Lexington Realty (LXP) & LXPPRD/GXP/PWE/AAV having sold everything else during the parabolic move
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