Has Volatility Lost Its Edge? by Mark G. Levey
ARTICLE SYNOPSIS ...Has Volatility Lost Its Edge?
by Mark G.Levey
Does volatility still offer the same advantage it once did in trading the Standard &PoorÕs 500 index? HereÕs a followup to previous STOCKS & COMMODITIES articles.
From a statistical standpoint, assuming an even chance of loss or gain on an investment, low-volatility investments offer significantly higher returns than
do high-volatility strategies. A low-volatility trading system beats a high-volatility system 70% to
80% of the time when given the same sequence of trading results. In winning systems, however, game theory shows that once the proba...