Gavekal Capital: Update on VIX Curve Inversion

Wednesday, August 6, 2014

Update on VIX Curve Inversion

A few weeks ago, we noted the relationship between an inverted VIX curve and declines in the S&P500 (see here). Taking a longer-term view, we see that the last few years have been relatively quiet--characterized by few, intermittent inversions and minor pullbacks in the index. A larger spike than we saw last week and/or a sustained inversion between prices of the VIX and the 3-month VIX would be symptomatic of a more meaningful correction:

About Gavekal Capital

Gavekal Capital is a US registered investment advisory firm that manages the Gavekal Knowledge Leaders Strategy. Knowledge Leaders are a group of the world’s leading innovators with deep reservoirs of intangible capital. These companies often possess competitive advantages such as strong brand, proprietary knowledge or a unique distribution mechanism. Knowledge Leaders are largely service-based and advanced manufacturing businesses, often operating globally. Gavekal Capital seeks to identify the world’s leading knowledge companies through a proprietary process that analyzes corporate knowledge investments.
We offer the Gavekal Knowledge Leaders Strategy in multiple products for global investors. For more information about our product offerings please visit http://www.gavekalcapital.com.
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