Markets are grinding higher and many investors are looking to call the top of the market cycle. In this light we ask ourselves what causes bubbles and more importantly how do we spot them? Over time I have collected a range of indicators that seek to have some predictive value in spotting bubbles emerging. I modestly call this the Heiligenberg Index.
The low volatility premium has grabbed everyone's attention. Staying flat when markets fell almost 10% this year, the strategy also recorded double-digit returns in 2015. But can it keep its promise of lower risk and superior risk-adjusted returns?