Comments on: More Slick VIX Tricks http://alephblog.com/2007/08/01/more-slick-vix-tricks/ Helping Institutions and Ordinary People Invest Better by Focusing on Risk Control Sun, 12 Feb 2012 18:05:33 +0000 hourly 1 http://wordpress.org/?v=3.3.1 By: Jim Gislasonhttp://alephblog.com/2007/08/01/more-slick-vix-tricks/comment-page-1/#comment-16443 Jim Gislason Wed, 09 Jan 2008 18:46:15 +0000 http://alephblog.com/2007/08/01/more-slick-vix-tricks/#comment-16443 I stumbled across this (Beta article) today and think that you have answered a question that I have been thinking about. I manage a long-short fund (generally short S&P,IWM indices against long SS) and was wondering why my risk numbers came out differently depending if ran my risk using MC simulation (using implieds) or just perturbed assets using Betas. I think you answered my question; i.e., if the Betas are not consistent with the historic correlation matrix and the implieds, one is going to get different (and inconsistent Betas). I have one question. Can I, more simply, just calculate Betas by calculating the covariance matrix using implieds and then divide by the Market variance? Is that the same as you suggest? Anyway, I thought your post was very clever and potentially very useful. Thanks. Jim I stumbled across this (Beta article) today and think that you have answered a question that I have been thinking about. I manage a long-short fund (generally short S&P,IWM indices against long SS) and was wondering why my risk numbers came out differently depending if ran my risk using MC simulation (using implieds) or just perturbed assets using Betas. I think you answered my question; i.e., if the Betas are not consistent with the historic correlation matrix and the implieds, one is going to get different (and inconsistent Betas).

I have one question. Can I, more simply, just calculate Betas by calculating the covariance matrix using implieds and then divide by the Market variance? Is that the same as you suggest?

Anyway, I thought your post was very clever and potentially very useful. Thanks.

Jim

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