High Volatility Market Is Coming Back, Could Lead To 53% Decline: MKM
Mark Melin
Published on
Updated on
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Investing in high volatility market environment: The August 2015 market crash was profound for several reasons, causing Jim Strugger, MKM Partners managing director of derivatives strategies, to conclude “a transition into a high-volatility regime had begun.” Now with numerous volatility events over a short period of time in the rear view mirror, investors should adjust their risk management approach to this new volatility regime. Specifically, Strugger notes:
Since inception of VIX there have been five prior 40-magnitude VIX shocks, all during periods of structurally elevated volatility
In a worst case scenario, Strugger adds:
Implications are significant since the last two bear markets saw equities cascade lower for 1.5-2 years with ultimate damage in SPX averaging 53%
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.
