I'm in the middle of writing a thesis paper for a course on hedge funds right now and one of the sections involves projecting volatility using historical precedents as a guide. The problem I'm having is that there's no precedent for what is about to happen. A confluence of some of the global markets' largest factors like interest rate policy direction, index valuation multiples and credit spreads are just completely different now than they were in previous periods where enough data is available to backtest. What this means is that there's going to be more uncertainty starting late next month and that volatility will be heavily elevated. I expect the VIX ([[VXX]], [[VIXY]], [[TVIX]]) to start edging up slowly in early January and to become heightened as 2017 gets fully underway.
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Source: InsideGov
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