VIX Futures As a Market Timing Indicator
A 2018 paper by Fassas and Hourvouliades on market timing and tactical asset allocation across several asset classes: the abstract mentions a benchmark and leaves out an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has signaling effects regarding future equity prices movements, as several investors believe.”
AssetMulti-assetfutures, indices
StrategyMarket timingshort-term reversal
GeographyUS
Also stated: benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMarket timing and tactical asset allocation by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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