045 - Rob Hanna - Trading the VIX in a Diversified Portfolio
Description
Detailed write-up on all of the concepts discussed here: https://www.algoadvantage.io/podcast/045-rob-hanna
Rob Hanna has been trading since the mid 90's and has slowly progressed from discretionary swing trading to a systematic, research driven approach, while still carrying some of those qualitative features into his quant trading. He trades a diversified set of strategies in equities and ETFs, with a focus on the shorter term (and particularly mean-reversion) models. Of particular interest to me was his VIX trading strategies due to their usefulness as a hedge in times of crises, and because they employ more than just price data (they look to the VIX futures curve - whether in backwardation or contango as a critical filter to his models).
Trading volatility (through the futures, options or ETFs) can be extremely risky, but given the strong edges that are present in trading a consistent down-trending market, it's always of interest to me how traders find a way to profit while minimizing the risks inherent in these models. Rob has been trading the VIX long enough to share some invaluable insights. Enjoy!
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