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dc.contributor.authorPersson, Christian
dc.contributor.authorWilliams, Robin
dc.date.accessioned2020-07-08T07:52:11Z
dc.date.available2020-07-08T07:52:11Z
dc.date.issued2020-07-08
dc.identifier.urihttp://hdl.handle.net/2077/65567
dc.descriptionMSc in Financesv
dc.description.abstractThe Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is known as being an indicator of fear, often referred to as the fear index. Low volatility indicates tranquility in the market, whereas high volatility indicates distress. We aim to use the level of the VIX as an indicator for stock market movements and incorporate it into an investment strategy within a Markowitz (1952) mean-variance (MV) setting. By using Kenneth French's 12 industry assets over a 30-year window, we calculate the sensitivity between VIX and the assets. Further, by incorporating transaction costs, and testing for different input variables for the strategy, we build upon earlier papers by Copeland and Copeland (1999), and Cloutier, Djatej, and Kiefer (2017). The VIX strategy is tested against a simple moving average (SMA) strategy suggested by Faber (2013). We find evidence in suggesting that our VIX strategy, using MV as the outset portfolio, outperform the buy-and-hold strategy as well as the SMA strategy. Additionally, after introducing an equally weighted outset portfolio, the strategy is able to outperform the S&P 500 over the 30-years.sv
dc.language.isoengsv
dc.relation.ispartofseriesMaster Degree Projectsv
dc.relation.ispartofseries2020:185sv
dc.subjectVIXsv
dc.subjectstrategysv
dc.subjectmean-variancesv
dc.subjectsimple moving averagesv
dc.subjectvolatilitysv
dc.subjecttransaction costssv
dc.subjectbull marketsv
dc.subjectbear marketsv
dc.titleQuantitative tactical asset allocation: Using the VIX to exploit bull and bear market movements in a Mean-Variance portfoliosv
dc.typeText
dc.setspec.uppsokSocialBehaviourLaw
dc.type.uppsokH2
dc.contributor.departmentUniversity of Gothenburg/Graduate Schooleng
dc.contributor.departmentGöteborgs universitet/Graduate Schoolswe
dc.type.degreeMaster 2-years


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