This is being held in Auckland on 15 May.

Topics: Easy Volatility Investing

Tony is an Auckland Quantitative Analyst who specialises in market volatility. In 2010 he won the US National Association of Active Investment Managers (NAAIM, Wagner Award (a prize of $10,000) with his paper Alpha Generation and Risk Smoothing Using Managed Volatility (download from

This year, 2013, he achieved second prize in the same competition with his paper Easy Volatility Investing (download from It is this second paper that he will talk about at tonight’s meeting.

Market volatility is easier to predict than sharemarket returns and the returns from volatility can have a low correlation with sharemarkets. This makes volatility attractive as an investment asset.

For many decades the only way to invest in volatility has been through trading options, futures, or variance swaps. But now volatility-related Exchange Traded Notes (ETNs) exist which make volatility trading easy for the retail investor. The ETNs to be discussed are those with US tickers XIV, VXX, ZIV, and VXZ.

This presentation discusses these ETNs and shows how they work and how they can be traded to earn returns as high as 100% per year.

Topics to be discussed will be Futures pricing, Volatility Risk Premium, Roll yield, Momentum, and Steamrollers and the presentation will be aimed at beginners. No technical knowledge is required to follow the presentation and no mathematical formulas will be required.