Chrilly's Selected Working Papers
Below is a list of working papers. The list is ordered chronological. Latest papers first.
The recurrent theme of the working papers is the termstructure of volatility. Either by trading the termstructure directly or using the termstructure
as a trading signal. But there are also a host of other topics.
The papers are a work in progress. The main purpose is to document for myself what I have done. There are usually several revisions if
either the original ideas are tested on more recent data or new ideas are explored.
Chrilly produces working papers with almost the frequency of Paul Erdoes.
Keep an eye on this page for revised versions of older papers and new ones.

Approximating the Implied Volatility of SPXOptions with the VIX
Datacollections of SPX options are not for free and sometimes also cumbersome to handle if one
wants to be uptodate. This working paper shows that the implied volatility and hence the price of
SPXoptions can be easily approximated with the VIX. The approximation works reasonable well for
backtesting simple short and midterm SPXoption strategies.
DeltaTableI, StrikeTableI
DeltaTableII, StrikeTableII
DeltaTableIII, StrikeTableIII

Modeling, Forecasting and Trading the Crude Oil Term Structure
Barunik and Malinska apply the bond termstructure forecasting model of Diebold and Li to
crude oil Futures. But they report only statistical results and do not apply the model to trading calendar
spreads. This paper addresses this logical next step. The performance is compared to strategies which
are based on different rollingstrategies. Basically one shorts a less efficient rollingstrategy and goes a
more efficient long. Both methods boil down to similar trading behavior and have hence also a
comparable performance. The performance is in the time range from 20110101 till 20161118 quite
reasonable.

Building a Portfolio of ETFs to exploit negative Autocorrelation
There are now several ETFs available which act as a fund of funds. The performance of
these ETFs is rather mixed. This working paper presents a simple approach for a small
universe of large ETFs. The strategy exploits the negative Autocorrelation of monthly
returns and updates the weights accordingly. It beats significantly an equal weighted
portfolio and also the best performing ETF of the universe. The performance can be
increased further if one lifts the longonly constraint. The result is robust to different
parameter settings and realistic trading costs. The presented strategy belongs to the
SmartBeta family.

Improving Smart Beta ETFs with Smart Beta. Revision 1
In a previous working paper I analyzed the performance of pairstrading from a
universe of ETF stocks. This paper uses a similar approach but considers longonly
strategies which belong to the general group of smart beta strategies: Alternative
weighting schemes of the stocks and subset selection according to volatility, beta or
momentum. One selects a smart subETF. If the original ETF is already smart the subset
is a sort of smart ETF of the second order. The working paper shows that the question of
different weightingschemes is overweighted. It answers also the frequently asked
question about the impact of different rebalance periods. The riskadjusted performance
can be improved by either lowvolatility or smallbeta subsets. Momentum and Mean
Reversal works for some but not all ETFs.
Revision 1 adds the results for idiosyncratic volatility.

Is Daily Pairs Trading of ETFStocks profitable?
Pairs trading is a venerable trading strategy. There is agreement that it worked fine in the
far past. But it is less clear if it still profitable today. In this working paper the universe of
eligible pairs is defined by the holdings of a given ETF. It is shown that the stocks must
be from ETFs which select highquality, lowvolatility stocks. The usual closeness
measure presented in the literature performs poor. The paper presents a simple and
clearly superior alternative based on zerocrossings. The strategy performs with the
correct universe and the improved pairs selection rule before trading costs quite fine. It
depends on the assumed trading costs if this is also in realtrading life the case.

Pricing Options with the Stochastic Volatility Regime Simulation for GARCH, HAR GARCHVIX and VIX models.
This working paper uses as a starting point the filtered historical simulation (FHS)
approach developed by BaroneAdesi et al. One builds a GJRGARCH model
and generates MonteCarlo return/price paths with normalized returns. This introduces a
severe driftbias. The Stochastic Volatility Regime Simulation (SVRS) avoids the bias by
sampling from the same volatility regime. As an alternative to GJRGARCH an
asymmetric HAR and a GARCHVIX model is used. Path sampling is done in the same
way. As a model free alternative a VIX based approach is additionally investigated. This
alternative clearly beats the models during the pre and postBrexit market turmoil.
BaroneAdesi et al. transform the realworld into the riskneutral measure. The current
model stays in the realmeasure. One simulates a realistic trading behavior by hedging the
options along the MonteCarlo paths. One can calibrate the model by adding external
noise.

Forecasting the VIX to improve VIXDerivatives Trading.
Konstantinidi et. al. state in their broad survey of VolatilityIndex forecasting: "The question whether the dynamics of implied volatility indices can be
predicted has received little attention". The overall result of this and the quoted papers is: The VIX is
too a very limited extend (R2 is typically 0.01) predictable, but the effect is economically not significant.
This paper confirms this finding if (and only if) the forecast horizon is limited to one day. But there is no
practical need to do so. One can  and usually does  hold a VIX Future or Option several trading days. It is
shown that a simple model has a highly significant predictive power over a longer time horizon. The
forecasts improve realistic trading strategies.

The dynamic hedging of weekly S&PFutures Options: Cashbot case studies. Rev. 2
Cashbot is a fully autonomous trading bot. I have added recently S&P500 weekly Options trading.
This is a hot topic with a lot of risk and fun. The strategy is currently tested with papertrading. This
note analyzes a dynamically hedged short strangle. This note does not give definite answers how to
handle such a position in a complicated market situation. But it addresses several important practical
questions.
Revision 1 introduces a new Hedging method. The study extends the results to the next time period.
There is hence no hindsight bias.
Revision 2 extends the results to the next time period from 20160209 to 20160219.

SPES: A ServicePointsElo System for beating the tennis betting market.
The ServicePointsEloSystem SPES uses the standard MarkovChainModel to generate the
distributions of game, set and match results. Based on these distributions a straightforward EloSystem
is developed. The EloRating is not an arbitrary scaled number, but the servicepointprobability of a
player. The SPES forms the basis of a betting strategy. The strategy exploits the fact that it is not the
business of bookmakers to win the prediction competition. Their goal is the largest profit with the
lowest risk. They adjust the odds to balance the book. One only bets odds with favorable overround.
The strategy is  in the extensive historic simulation  clearly profitable.
Note:
This work and the presented results are a private hobby. There is no connection to the professional work.

Chrilly's Toolbox of Energy Futures Trading.
In a previous working paper (see below) I analysed the performance of several rolling strategies for the 5 most
important Energy Futures in the last 10 years. It was assumed that one is always long the Futures. The
task was to minimize the harm of rolling. Due to the weak performance of this sector there was in
absolute terms (almost) nothing to gain. This working paper analyses several strategies which try to
exploit all aspects  rolling, the term structure, mean reversion, seasonalpatterns and trends  of the
Energy Futures market. Anything goes as long as it is profitable. Some of the strategies perform
considerable better then the longonly portfolios. But the times they are A Changin' in the Energy
Futures market. It is difficult to find a consistent strategy which handles the different marketregimes
successfully. Some of the winners proposed in the literature performed fine once upon a time.

An empirical investigation of optimal Energy Futures rolling.
When the first Commodity Futures Indexes were constructed not much thought was spent on the
rollover strategies. The Futures were in backwardation and one cashed in the rollyield by simply
rolling over from the most nearby Future to the next one. The only consideration was liquidity. Market
conditions have changed in recent years. Contango is now the more frequent case. The roll strategy is
more sophisticated in the second index generation.
This investigation analyses the performance of several rolling strategies for the 5 most important
Energy Futures in the last 10 years. It is shown that one should avoid the crowd if one has to roll
nearby Futures. The second generation indexes have  besides for RB  a clear edge. The performance
of the different indexes is similar, with the S&P Dynamic Roll Strategy having a slight edge. Optimal
rolling is most important for the CL and NGFutures.
This is a major rework of the previous working paper which considered only WTI and Brent Futures.

An empirical investigation of optimal crude oil Futures rolling.
When the first Commodity Futures Indices were constructed not much thought was spent on the
rollover strategies. The Futures were in backwardation and one cashed in the rollyield by simply
rolling over from the most nearby Future to the next one. The only consideration was liquidity. Market
conditions have changed in recent years. Contango is now the more frequent case. The roll strategy is
more sophisticated in the second index generation.
This investigation analyzes the performance of several rolling strategies for WTI and Brent Futures in
the last 10 years. It is shown that one should avoid the crowd if one has to roll nearby Futures. The
second generation indices have a clear edge. The performance of the different indices is similar, with
the S&P Dynamic Roll Strategy having a slight edge. Optimal rolling is more important for the WTI
Futures than for Brent oil.

The Poverty of Academic Finance Research: Spread trading strategies in the crude oil futures market.
Harvey, Liu and Zhu argue that probably most of the CrossSection of Returns literature is
garbage. One can always try an additional factor and will find a significant CrossSectional result with
enough trial and error. Lopez de Prado argues in a series of articles in a similar vein.
Theoretically scientific results are falsifiable. Practically previous results and publications are checked
only in rare occasions. Growth in a Time of Depth by Reinhart and Rogoff was the most influential
economic paper in recent years. It was published in a top journal. Although the paper contained even
trivial ExcelBugs it took 3 years till the wrong results and the poor methodology was fully revealed
The reviewers did not check the simple spreadsheets.
This paper analyses a less prominent example about spread trading in the crude oil futures market by
Thorben Lubnau. The author reports for his very simple strategy a long term SharpeRatios above 3.
It is shown that  like for Reinhart and Rogoff  one needs no sophisticated test statistics to falsify the
results. The explanation is much simpler: The author has no clue of trading. He used the wrong data.

Modeling and Trading the VIX and VSTOXX with Futures, Options and the VXX. Version 1.0
Understanding the behaviour of the VIX and developing trading strategies for VIX related products is
the leitmotif of the SibylWorking papers. In the previous papers a signal based
approach was used. These strategies are the cash cows of the SibylFund.
This working paper develops first a meanreverting logarithmic model for the VIX. In the next step the
relation between the VIX and VIX Futures is modelled. VIX Options are evaluated by MonteCarlo
Simulation of OptionTrading Strategies. The model is also applied to the VIX based ETN VXX and
VXX Options and extended to the VSTOXX and VSTOXX Futures.
The performance of several modelbased trading strategies is backtested. The paper presents not only
good but also bad or dubious trading ideas. The signal based strategies exploit the termstructure of
VIX Futures. The model exploits additionally the meanreversion of volatility. This improves  at least
in the backtest  the performance. The paper discusses in appendix B the critique on the backtest
methodology formulated in the paper "PseudoMathematics and Financial Charlatanism". The (well known) critique has to be taken serious, but the suggested
solution is of no practical use.
Version 1 adds a completely different VXX trading strategy which was suggested by a reviewer.

Trading the patience of Mrs. Yellen. A short VIXFutures strategy for FOMC announcement days.
There is consensus in the literature that the 8 scheduled FOMC meetings are the most important regular
trading news. In "When No News is Good News  The decrease in Investor Fear after FOMC
announcements" the authors show that the VIX and VIXFutures decrease significantly after the
announcements of the meeting. This paper confirms these findings. It omits the usual academic fuss
and concentrates instead on the mundane questions of a detailed trading strategy.

Lovers by night, strangers by day? An investigation of simple Overnight Trading Strategies.
This working paper investigates the claim of several publications that most of the gains of stocks and stockindexes are realized overnight.
Additionally it is stated there is less volatility overnight than intraday. One gets with less risk more fun. But the data are in both
studies outdated. This workingpaper investigates if the effect still exists and if one can exploit it with a realistic trading strategy.
The effect is still there, but less pronounced than stated in the older literature. The study reveals an interesting stylized fact.
Overnight returns are positive correlated with market turmoil. Without trading costs one could implement a very simple and attractive trading strategy. Under
realistic assumptions trading the S&P500 Emini futures is clearly worse than buy and hold of the ETF SPY.
The Nasdaq100 Emini are a more promising choice.

An investigation of simple Intraday Trading Strategies
This working paper investigates the performance of several published simple intraday trading strategies
for the S&P500 futures. The general result is: The strategies do not work as advertised under realistic
trading assumptions. The paper discusses some possible refinements. It is important to restrict the rules
to specific market regimes. An appropriate regimeclassifier is the ImpliedVolatilityTermStructure
(IVTS) developed in previous working papers. The best strategy under investigation is a set of rules
proposed by the SibylFund trader Siddharth Bhatia. But overall it seems to be difficult to develop a
simple and attractive intraday strategy.

Hedging Adaptive Put Writing with VIX Futures: The Affenpinscher Strategy
In a previous working paper I analyzed the Austrian and Doberman Pinscher strategy (see below). The
Austrian is an adaptive Put Writing strategy. One hedges the short position with a long Put with a lower
strike. The Doberman is more aggressive. The long hedge is omitted. The risk is in both cases reduced
by entry and exit conditions. The Affenpinscher uses the same general framework. But the hedging is
done with long VIX Futures. There are several VIX Futures available. One selects the VIX Future with
the lowest rollvalue. The overall performance of the Affenpinscher is between the Austrian and Doberman Pinscher. The
Pinscher strategies have generally an attractive performance. The best choice within the family is a
matter of risk appetite.

Adaptive Put Writing for the S&P500 Index and Nasdaq Stocks: The Austrian and Doberman Pinscher Strategy
It is well known that the implied volatility of S&P500 index options usually overestimate the realized
volatility of the S&P500. The most elementary way to exploit this fact is the CBOE S&P 500 PutWrite
Index PUT. In a series of papers the group of Prof. Larcher at the University of Linz/Austria
examined the possibility of improving the riskadjusted performance of this basic approach.
This working paper uses the techniques of the geographically nearby Larcher group as a starting point.
It is shown that one can improve the result by taking additionally the ImpliedVolatilityTermStructure
into account. It addresses and answers also some "open questions, future research" topics of the
Larcher papers. It is also investigated if the strategy can be applied to Nasdaq Stocks. The performance
of the strategy is quite attractive. But one has to be alert like an Austrian Pinscher to avoid the
considerable risk of Put Writing.

Adaptive Covered Call Writing for Nasdaq Stocks: The Turtle Strategy
Covered Call Writing is a venerable strategy. It is usually added to an existing portfolio of stocks. One
tradesoff upwards potential in strong rallies against a constant stream of additional income from
options writing. This work investigates various aspects of this strategy for Apple, Ebay and Google
over the last 8 years. It is shown that an adaptive approach works best. The turtle is no silver bullet, but
one gets at least the same performance in a considerable smoother way. The reduced volatility is  over
the considered time range  a free lunch.
In a second step long Puts are added for additional downside protection. The strategy becomes a (loose)
Collar. The Collar improves the SharpeRatio, but the overall profit is considerable lower.

Simple and Efficient Portfolio Construction with implicit Covariance Estimation: The Ant Strategy. Revision 1
It is well known that Modern Portfolio Theory does only work in theory. It requires a reliable estimation of expected returns and the expected covariance matrix.
The universe of assets must form a multivariate normal distribution. One needs a long time series of historic data to estimate the covariances. But the covariances are
not stationary. They change over time.
The Ant Strategy avoids the explicit covariance estimation at all. One starts with an initial population of random portfolios and improves them with
Differential Evolution. The optimization criterion is the risk adjusted return of the portfolio itself. The covariance matrix is only implicitly taken
into account by the performance of the portfolio. The behavior of this method is demonstrated for a Diversified universe of ETFs and for the Nasdaq
100. The results are compared to a Momentum approach called the Donkey developed in previous working papers. The Ants have an edge over the Donkey.
Revision 1 adds the ImpliedVolatilityTermStructure (IVTS) as a StopLoss Signal. This improves the performance and reduces downside risk.

Smarter than the OptionsMarket? A RealMeasure GARCH Option Pricing Model with Volatility Regime Simulation.
This working paper uses as a starting point the filtered historical simulation (FHS) approach developed by
BaroneAdesi et al.
One builds a GRJGARCH model and generates MonteCarlo return/price paths with normalized returns. This introduces a severe driftbias. The Volatility Regime Simulation (VRS)
avoids the bias by sampling from the same volatility regime. BaroneAdesi et al. transform the realworld into the riskneutral measure.
They calibrate the GARCH model to the market prices of plainvanilla options.
The current model stays in the realmeasure. One simulates a realistic trading behavior by hedging the options along the MonteCarlo paths. The model generates
the stylized facts of SPX options. The overall agreement with marketprices is quite good. According the model Calls are somewhat under, Puts are somewhat overpriced.
The second part of the paper demonstrates the promising application of the model for index options trading.

Plain Vanilla SPXOptions Hedging: The Effect of SmileAdjustments and the Lark versus Owl Question. Revision 1
Compared with the veritable explosion of research on pricing OTC options with pathdependent and/or exotic payoffs there has been relatively
little research on hedging vanilla options. Yet exchange trading on standard vanilla options is much more active than trading on OTC products.
This workingpaper tests for SPX options the effect of vega adjusted deltahedging on several trading
strategies developed in a previous working paper. During volatile markets risk reduction from
regimedependent delta hedging is much greater than during tranquil periods. It is shown that a very simple regime classification scheme (slightly) improves the
hedgingperformance.
In the literature hedging is usually performed daily. The simple question "at what time of the day" is up
to my knowledge never addressed. The second part of this paper deals with the Lark versus Owl
question. Is it better to do the daily hedge after the open or before the close?
The available highfrequency timeseries are too short and sparse to answer this question definitely. According the limited data the Owl has on a
few turbulent days an edge, otherwise the performance is very similar.

Downside Beta Portfolios: The Cinderella Strategy
Ang, Chen and Xing have shown in Downside Risk
that stocks that covary strongly with the market during market
declines have high average returns. The reward for bearing downside risk is not simply compensation
for regular market beta, nor is it explained by coskewness or liquidity risk, or by size, value, and
momentum characteristics.
The downside beta premium is not for free. The drawdown is considerable amplified in times of market
troubles.
This working paper combines the results of Ang, Chen and Xing with a signal based approach
developed in previous workingpapers. The impliedvolatilitytermstructure (IVTS) classifies market
regimes. One invests only in the favourable regime fully into stocks with high downside beta. Due to
this classification the downside beta premium is (almost) a free lunch.

VIX Futures Basis Trading: The CalvadosStrategy 2.0
In previous working papers I developed the Sidre and MostStrategy. The strategy relies on the typical term
structure of VIX futures. The Calvados is a refined and condensed version of these
strategies.
The basic idea is from a paper from Simon and Campasano .
The authors demonstrate that the VIX futures basis does not
have significant forecast power for the change in the VIX spot index, but does have forecast
power for subsequent VIX futures returns. It is especially profitable to short VIX futures contracts when the basis is in contango. The original Calvados
working paper presented improved metrics and parameter settings of the Simon&Campasano approach. The current
working paper improves the original work in several points and extends the historic backtest. The overall patterns of the original results are reassured and
improved upon. The Calvados is traded in the SybilFund. It is so far the pick of the bunch. One gets a lot of fun for a medium
dose of risk.

Improving the S&P Dynamic VIX Futures Index: The Mojito 3.0 Strategy
This workingpaper applies ideas from the HeroRATs strategy to the Mojito 2.0. The HeroRATs introduced the new VIXshorttermindex VXST and removed IVTS
spikes with a median filter. The VXST contains for the Mojito no valuable information. But the median5 filter is a clear improvement.
This working paper improves also the regimethresholds of the strategy.

How to beat the market with the Implied Volatility Term Structure: The HeroRATs Strategy
In a recent paper published on SSRN the authors propose a simple pairedswitching strategy. One selects a marketlong ETF (SPY)
and a negative correlated ETF (TLT). Depending on the 13weeks momentum one holds either the SPY or the TLT.
This workingpaper is a considerable refinement of this simple idea. Instead of the momentum the impliedvolatilitytermstructure (IVTS)
is used as a selection criterion. There are no fixed periods, but the decision is taken on a daily basis. The IVTS was used successfully in a
series of previous workingpapers. This working paper extends the IVTS by the recently introduced VIXShortTerm Index VXST.
The performance can further be significantly improved by filtering the IVTS with a median filter. The resulting strategy is very easy to implement and has
minimal tradingcosts. It beats the market (SPY) by a wide margin.

Crack Spread Trading: The Pekin Duck Strategy
The Pekin Duck is the latest species in a series of pairs and spreadtrading working papers. The Pekin trades with crack spreads.
The crack can be combined with a calendar spread. The standard crack is 3:2:1. Shorting 3 crude oil futures (CL) and going 2 gasoline (RB) and 1 heating oil
(HO) futures long. This spread coincides with the production process. But according a preliminary visual and statistical study this combination is  at its best  very weakly
CoIntegrated. This is also true for 1:1:0 (CL v. RB) and 1:0:1 (CL v. HO). There is only one interesting crack left: 0:1:1 or gasoline
(RB) versus heating oil (HO). This is also in agreement with trading experience.
Trading this spread is termed the Pekin Duck strategy. The Pekin is so far the most attractive within the
Duck breeds. Trading only the crack spread is a relative save bet. But there are periods were no
interesting pair is available. Combining the crack with a calendar spread creates more fun and risk.

Natural Gas Pairs Trading without CoIntegration: The Wild and Black Duck Strategy
This working paper is a complete rework of Pairs Trading with CoIntegration: The Duck Strategy.
The original CoIntegration test is in it's explicit form
skipped, because it adds no additional value. All interesting Natural Gas futures pairs are CoIntegrated.
Instead a measure for the most interesting pair is developed. This rework is termed the Wild Duck
strategy. Additionally a different model which operates on the forwardcurve and the specifics of the
NaturalGas market is proposed. This new model  the Dark Duck  works slightly better than the
traditional pairs approach. But the two species are closely related. The historic performance patterns are
similar. They depend on the overall volatility of the naturalgas market.

Change Point Trading: The Snowy Strategy
ChangePoint Detection is a venerable discipline with it's roots in process control. The classical
CUSUM algorithm is the working horse of this field. Detecting ChangePoints is also a major problem
in finance. The starting point of this work was the Mojito Trading strategy
(see Dynamic VIXFuturesStrategy Version 2.0).
The Mojito uses the ImpliedVolatilityTermStructure (IVTS) as a signal for trading the VXX. The initial idea
was to apply the CUSUM algorithm to the IVTS. This works reasonable, but it can't be really
called a full fledged CUSUM application. As a next step Absolute Snowy was developed. Absolute
Snowy uses the absolute Returns of the VXX as the signal. This method is not only restricted
to the VIX, but can be applied as well to the SPY and other time series. Snowy does a good
job to detect changepoints. He also does not overly bark on false alarms. Absolute Snowy
is probably the first fully working CUSUM application in finance.

SmallLargeCap Trading: The Snail Strategy
SmallCaps outperform in normal times LargeCaps. But during crashes there is a flight to quality.
LargeCaps loose less. The Snail Strategy goes therefore in normal times a SmallCap ETF long and a
LargeCap ETF short. The roles are reversed in times of troubles. One goes the LargeCap long and the
SmallCap short. The critical point of such a strategy is the correct classification of marketregimes.
For this purpose the ImpliedVolatilityTermStructure (IVTS) is used. The IVTS is the leitmotif in the Sybil project.
The strategy performs especially well in crash phases. But it suffers in the last 2 years from the small margin between Small and LargeCaps.
The Snail Strategy delivers no spectacular immediate results. It is a strategy for the patient investor. To speed it up one can trade the ultra snail.

Chrilly's Complete Guide to Momentum Trading: The Donkey and Mule Strategy
workingpaper is a complete rework of the previous papers about the Donkey and Mule Strategies.
It is an up to date and comprehensive coverage of the state of the art in momentum trading.
The Donkey is a momentum strategy for a large set of ETFs and Nasdaq stocks.
The Mule applies a similar concept to a collection of commodity, bonds, FX and indexfutures.

The Boosting the SPY with the VXX: The Daiquiri Strategy working paper describes
a combination of a S&P500 long position (ETFSPY) with shortterm VIXfutures (ETFVXX). The starting point is the VEQTOR index developed by S&P.
The effect is similar to hedging the S&P500 with puts. The Daiquiry performs considerable better than the VEQTOR.

The A broad hint from the VIX: Trading the market with
implied volatility
working paper demonstrates that one can extract with relative simple methods relevant information
from the impliedvolatility surface. Although these results form also interesting trading strategies,
the primary focus of this study was to test different VIX related measures in a simple twoasset allocation problem.
These results should also be useful in more complex allocation problems.

The SPXOptions Trading: The Kir Strategy working paper considers first
the usefulness of GARCHmodels for options trading. Although the features of the developed GARCHmodel are statistically attractive, the answer is: GARCHmodels are an academic exercise.
The idea was dropped and replaced by the simple Implied Volatility Term Structure (IVTS). Adding the IVTS information improves the trading strategies significantly.

The Riding the dead FXCarry Horse working paper examines the question if
FXCarryTrading is still profitable. FXCarryTrading was until 2007 a foolproof cashcow.
Carrytraders capsized in the 2008 crash. As a reaction to this crash central banks clamped
the interest rate to (almost) zero. There is an ongoing debate, if this policy is the final
dead of this strategy. This working paper shows, that there is still considerable profit potential.
But it is definitely not a foolproof task anymore. The carryhorse is not dead, but one has to
buy a stronger whip and to change riders.

The Riding on the LIBOR and EuriborForwardRateCurve working paper examines
the behavior of the Eurodollar and Euribor Futures forward rate. After some theoretical investigations a simple and
profitable trading strategy is examined. The strategy relies on the typical monotonic increasing
Eurodollar and Euribor termstructure.

The Leveraged ETFTrading: The Johnny WalkerStrategy working paper examines
a strategy which is based on shortselling of LeveragedETF's. LeveragedETF's have been called moneytraps. This strategy traps the
money of uninformed investors. The strategy exploits the volatilitydrag of LETF's.

The
DaLEI
is a Daily Leading Economic Index similar in spirit to the widely used LEI or
the OECD Composite Leading Indicators.
The DaLEI uses daily, weekly and monthly data and can be  in contrast to the LEI  calculated on a daily basis.

The MarketRegimes with a HiddenMarkovModel working paper tries to identify the current overall market situation.
The regimes are directly calculated from marketdata with a relative sophisticated mathematical approach.

The
ScenarioGeneration with IVTS BlockSampling working paper presents a novel method
for generating scenarios for portfolio optimization and risk models. The method is simple, fast and flexible. The resulting
data are closer to the stylized facts of financial timeseries than comparable methods. There is (yet) no accompanying
chart. The method is currently used for PortfolioConstruction (see the working paper below).

The ETFPortfolioConstruction working paper describes a committee approach for portfolio
calculation.
The committee improves the diversification of the selected assets. Omega  a generalization of the Markowitzapproach  is the optimization criterion.
The workingpaper delineates also the experience with the new GoProgramming language.

The ETFPortfolioAnalysis working paper is a detailed analysis of a specific portfolio.
One gains an insight for the effects of the optimization method.

The Selling Volatility Insurance working paper describes the Sidre and MostStrategy.
The strategies rely on the typical termstructure of VIX futures. The Sidre is a calendar spread. The Most sells naked VIXFutures.
The strategies have similar characteristics than selling Puts. To control the risk a simple, but efficient signal for entering and stopping the position is used.

The Trading LowVolatility ETF's working paper describes the IrishCream Strategy.
The IrishCream combines the LowVolatility ETF SPLV with the baseETF SPY and the inverse SH to improve the overall performance.
The IrishCream can be applied to other ETF combinations too.

The DowJones LowVolatility Index is an extension of the S&P500 LowVolatility index to the Dow Jones.
The index is easy to trade. One can construct in the same way also a HighVolatility Index. The Baileys Strategy invests usually in the LowVol Index.
In calm markets phases the investment is shifted
to the HighVol Index to boost the overall performance. The method can be easily extended to other markets like the DAX.