What happens when the volatility of the market reduces?
The system works well with data Oct 07 (Vix 16-24) to Aug 09 (Vix 22-28) and well in Oct 08 (Vix 39-89) It would be possible to model performance with low volatility if data is available. It is also possible to vary risk when volatility is low. The expectation is that 6.5% per month can be delivered over a 2 year period. 6.5% is based on modeled achievement for 2009, which excludes the highest volatility months of 2008.
