The Stock Market (S&P 500) has returned on average 1.4% per month and the Volatility ETF (VXX) has returned -4.6% per month.  This data goes back to 2009. Where the returns have a -0.76 correlation. Monthly Returns SPY VXX count 154 154 mean 1.4% -4.6% std 4.1% 19.3% min -12.5% -35.2% 25% -0.6% -15.6% 50% 1.9% -8.6% 75% 3.7% 2.3% max 12.7% 102.8% The Monthly Return Distributions SPY and VXX Monthly Returns - unpackinvesting.com Takeaways SPY and VXX are strongly negatively correlated with -0.76 since VXX inception The monthly magnitude of returns is about -3x times with almost 5x times the volatility. With the strong negative correlation and greater volatility VXX can make a great hedging vehicle for SPY or shorting VXX can be utilized as a more capital efficient exposure tool (leverage). Further interesting research can include testing if VIX levels have any forecasting ability in SPY and VXX in returns or volatility

Here are different quantifiable attributes that measure risk: stock borrow / lending rate, historical volatility, implied volatility and margin. #1 Stock Borrow / Lending Rate  This is the rate at which it costs to borrow securities (if you want to sell them short) and the corresponding rate to lend securities to someone that wants to borrow them.  For example, this is quoted on Interactive Brokers "SLB Rates", SPY has a Fee rate of 0.25% and a Rebate rate of -0.25%.  While BITO has a Fee rate of 0.91% and a Rebate rate of -0.91%.  This means that it will cost less to borrow SPY than BITO and also that if you lend BITO you will make more money than lending SPY.  Generally, if things cost more to borrow, they have more risk associated with them. #2 Historical (or Realized) Volatility This number is calculated from historical prices.  It is basically the standard deviation of prices over a given time window and then normalized into an annualized number so tha...

The world's 5 largest retirement funds ranked by assets are Japan ($1.7 Trillion),  Norway ($1.3 Trillion), South Korea ($765 Billion), U.S. Federal Retirement Thrift ($650 Billion), and ABP of Netherlands ($600 Billion).  With such a large size, all these funds have a large portion in public equities (stocks) ranging from 42% to almost 73%.  Their bond allocations range from 25% to 50% with the remaining in alternatives including real estate from 2.5% to 14%. Ranked By Total Assets Fund Country Total Assets (millions) Government Pension Investment Japan $1,719,987 Government Pension Fund Norway $1,305,920 National Pension South Korea $765,446 Federal Retirement Thrift U.S. $651,124 ABP Netherlands $607,367 complete list https://www.pionline.com/interactive/worlds-largest-retirement-funds-2021  #1 Government Pension Investment, GPIF, Japan - $1.7T Details can be found here: https://www.gpif.go.jp/en/ Allocation Details can be found here: https://www.gpif.go.jp/en/per...

Holding USD "Stablecoins" at many institutions right now offer a very attractive APY (annual percent yield) much higher than traditional banks (below are a few examples). APY FDIC Insured BlockFi.com 9.50% N Gemini.com 8.05% N Coinbase.com 0.15% N National Average 0.12% Y What is a USD stablecoin? It is a digital asset (crypto currency) that is backed by USD 1 to 1.  The more reputable ones are USDC - offered on Coinbase through a company called Circle and GUSD - offered through Gemini.  These 2 are companies are based in the US and have audited financials to verify the trust backing these coins have enough reserves to meet the 1 to 1 ratio. These are purchasable and redeemable for USD There are other Stablecoins that are not as transparent about holdings like TUSD or Tether.  And even other Stablecoins backed by a dynamic ratio of Etherium -> DAI. Stablecoins and their market capitalization can easily be found at https://coinmarketcap.com/view/stablecoin/ How does it ...

 Vanguard is credited with creating the first index fund founded by John (Jack) Bogle.  To make it easier for investors, Vanguard created Target Retirement Funds that provide an All-in-one fund for people to choose based on their target date of retirement.  For each of the group of ages, the portfolio has a different composition designed to help manage risk while trying to grow retirement savings.  It will gradually move assets to less risky investments as retirement age gets closer. (source: https://investor.vanguard.com/mutual-funds/target-retirement/#/ ) Breakdown Points Major Asset Allocation Breakdown Stock allocation decreases as retirement target date approaches With 45 years to retire, the portfolio had more than 88% stocks (53% US, 35% International) In retirement, the portfolio had slightly more than 29% stocks (17% US, 12% International) Bond allocation increased as retirement target date approaches With 45 years to retire, the portfolio had just almost 10...

 On Tuesday October 19, Proshares Bitcoin ETF BITO (based on futures) began trading on the New York Stock Exchange.  Although it provides exposure to Bitcoin, it isn't as representative as buying it outright on a cryptocurrency exchange like Coinbase or Gemini.  The minor difference will not be noticeable for people using it as a trading instrument, but for those looking to buy and hold for a long time (or HODL - Hold On for Dear Life) the underlying mechanics make it less attractive as performance may deviate. What makes BITO different than Bitcoin? These ETFs being approved do NOT hold Bitcoin as an underlying.  They hold futures.  These futures are contracts that settle to cash on expiration date, so the fund needs to "roll them" (before the current futures contract expires, the fund will sell the current one to buy the next one to maintain exposure to Bitcoin).  From data below when or before October Futures expire it looks like it will cost 930 (selli...

 The Stock Market (S&P 500) has returned on average 10.4% per year.  This data goes back to 1871.  This comprises of an average price appreciation of 6.2% and a historical dividend yield of 4.2%. Distribution of Returns Although it is tempting to use the average returns for forward assumptions, there is one big caveat: the distribution of returns has been large.  The worst year returned -38.3% while the best year returned 53.1%. Percentile Range Another useful way to use the data is to look at the 25th and 75th percentile, which represents the 25th worst return and the 75th best return.  25th = -1.3% and 75th = 20.6%.  This is called the interquartile range and provides a sense of range.  There is also the quartile deviation that is half the value of the interquartile range to provide a measure of dispersion so in this case 11.0%.  With the mean value which is the same as 50th percentile we can get a sense of the middle, so in this case 11.0%....