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Barbell Investing

I saw a strategy on another site that suggested keep ~20% of a portfolio in a high risk instrument (XIV here) and the rest of the portfolio in a low risk instrument (cash, in this case). Nothing spectacular, but I'm sure there are variations on this that could produce some interesting results!

The blog article I found this on (and this version differs somewhat) was:
http://dontfearthebear.com/2014/07/02/barbell-investing-with-xiv-svxy/#comments
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Thanks for sharing. Is there a way to bring in the index data vix/vxv ? I don't see this in the symbols. Idea coming from
http://sixfigureinvesting.com/2012/09/taming-inverse-volatility-with-a-simple-ratio/
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Hey Sam! VIX/VXV are futures contracts - but they have an ETF equivalent which lags slightly (VXX) and is minutedata. You can import the futures contracts as well but you need to use a custom data importer.

This blog article shows an example algorithm importing two custom data sources -
https://www.quantconnect.com/blog/rotating-inversely-correlated-assets-nifty-usdinr/

And here's another importing Quandl data:
https://www.quantconnect.com/forum/discussion/352/daily-data-backtesting-and-yahoo-data

https://www.quandl.com/YAHOO/INDEX_VIX-VIX-S-P-500-Volatility-Index
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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