The recent unique price action of the S&P 500 Low Volatility Index, in my view, suggests investors have simultaneously become worried about both missing out (FOMO) and of not being out (NBO).
Great post, thanks. It would be nice to have the forward 1-week volatility and drawdown alongside the returns. The current regime is late-bull behavior; forward returns are lower, but maybe the median dip is shallow (because of sector & factor rotation instead of indiscriminate selling across the board).
Great post, thanks. It would be nice to have the forward 1-week volatility and drawdown alongside the returns. The current regime is late-bull behavior; forward returns are lower, but maybe the median dip is shallow (because of sector & factor rotation instead of indiscriminate selling across the board).
Was thinking just this. 1 year max drawdown using daily data would be schmick.