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Research & Education

The resources available for market data and research have dramatically increased in both number and quality in the past few years. Below are some resources that we have found useful and some commentary on why. In addition, we have provided a few books that are quick reads, but also provide some perspective for those that are making the jump from passive to active investment strategies. If you find any of the links or books particularly beneficial, please share your feedback with us on the Contact Us page.

Market Data & Research Links

Tax Treatment of Section 1256 Contracts 

www.gpo.gov/fdsys/pkg/USCODE-2011-title26/html/USCODE-2011-title26-subtitleA-chap1-subchapP-partIV-sec1256.htm

​AP Futures' Volatility Trading Strategy only trades regulated futures contracts which per Section 1256 (b)(1)(A) qualify for special tax treatment. The treatment for these contracts results in all gains and losses, whether realized or unrealized at year end, split as if 40% were short-term capital gains and 60% were long-term capital gains. Therefore, for positions that result in a gain and are held for one year or less, this special tax treatment will result in a lower effective tax rate than what one would face on a stock or bond with a similar gain and holding period. 

VIX Futures - Contract Specifications 

https://www.cboe.com/tradable_products/vix/vix_futures/specifications/

​The Volatility Trading Strategy primarily trades CBOE VIX Index Futures (Trading Symbol: VX). This site and the related links offer detailed information on the contract's pricing, multipliers, margin requirements, trading hours, settlement details and more.

VIX Futures - Daily Settlement Values 

https://www.cboe.com/us/futures/market_statistics/settlement/

This is a source for End of Day ("EOD") settlement values on all of the open VIX futures contracts. The related links also provide access to historical information on prices and volumes. Please note that if you choose to download and analyze the historical pricing data that serial months were not always available in the early years and there was also a change in the multiplier. 

Value and Momentum Everywhere 

By C. Asness, T. Moskowitz and L. Pedersen

This academic paper is well worth a thorough read. This is one of the great examples of recent academic work where a risk factor is identified and its practical application is discussed. For the individual that is aware of the Capital Asset Pricing Model and has heard about the Fama and French extension with the three factor model, this provides the next step in factor based investing. In the academic community many more risk factors have been identified. AP Futures' Volatility Trading Program provides access to the Volatility Risk Premium. 

Other Web Resources 

Various

Please be careful when seeking out information related to the VIX and Volatility related strategies on websites and blogs. There is quite a lot of misinformation, or at least dangerously sloppy analysis, ​out there. We strongly recommend using primary source data whenever possible, such as the websites of relevant exchanges and regulators, and the Disclosure Document or Prospectus for any particular investment product. Please reach out to us through our Contact Us page if you would like our perspective on the credibility of a resource.

Book List

How to Retire Rich - By James O'Shaughnessy

This book provides some long only equity market strategies and details how to do some basic stock specific analysis. The most useful takeaway in this book, in my opinion, is that it opens the door to thematic based investment processes. When investing for a lifetime, it is not useful to pick just one stock, but to understand what about that stock creates the potential to earn higher future returns than the broader market and then repeat that process for a lifetime.

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The New Market Wizards - By Jack Schwager

This collection of interviews with traders provides insight into the different active strategies that are employed by some of the top traders and portfolio managers. Market Wizards and Hedge Fund Market Wizards are similar in style and add to the breadth of trading styles and strategies covered.

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Reminiscences of a Stock Operator - By Edwin Lefevre

This novel details the trading career of Jesse Livermore who rises up the ranks of the trading world. This well written book illustrates his rise to and fall from fortune. There are many lessons revealed in its pages and range from the importance of recognizing the broader market environment, to position sizing, to the emotional roller-coaster that negatively affects many traders.

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Rich Dad Poor Dad - By Robert Kiyosaki

This short book provides a useful guide to saving and personal finance. While it is written at a very approachable level, and can be shared with older children, the lessons of having a long term plan and letting your returns compound are very important and well delivered.

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When Genius Failed - By Roger Lowenstein

This classic book illustrates the success and ultimate failure of Long Term Capital Management. A careful read provides a straight-forward lesson on the Illiquidity Risk Premium, which is a not too commonly discussed risk factor. I have noticed that this risk factor exists across asset classes and is very powerful and robust. As the title reveals, there is risk associated with this risk factor, and this risk, along with some style drift, eventually takes the firm down.

© All Rights Reserved.  AP Futures, LLC.

The risk of loss in trading commodities & futures contracts can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. The high degree of leverage that is often obtainable in commodity trading can work against you as well as for you. The use of leverage can lead to large losses as well as gains. In some cases, managed commodity accounts are subject to substantial charges for management and advisory fees. It may be necessary for those accounts that are subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the Commodity Trading Advisor ("CTA"). The regulations of the Commodity Futures Trading Commission ("CFTC") require that prospective clients of a CTA receive a disclosure document at or prior to the time an advisory agreement is delivered and that certain risk factors be highlighted. This document is readily accessible from AP Futures, LLC. This brief statement cannot disclose all of the risks and other significant aspects of the commodity markets. Therefore, you should thoroughly review the disclosure document and study it carefully to determine whether such trading is appropriate for you in light of your financial condition. The CFTC has not passed upon the merits of participating in this trading program nor on the adequacy or accuracy of the disclosure document. Other disclosure statements are required to be provided to you before a commodity account may be opened for you. 

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