On Thursday, July 23rd, 2020, the New York Chapter hosted Andrew Thrasher, CMT, for a virtual meeting. Andrew is a Portfolio Manager for Financial Enhancement Group, LLC, Founder of Thrasher Analytics LLC, and winner of the 2017 Charles H. Dow Award for his paper “Forecasting A Volatility Tsunami.” He discussed a variety of topics including Volatility Analysis, Breadth, Sentiment, Momentum, and more.

Andrew started his presentation by outlining his two jobs as a Portfolio Manager: finding opportunities to invest client assets with the potential for appreciation and maintain and enforce risk management principles to minimize investment-related losses. The critical distinction between being an analyst and having to take the next step to execute on that analysis in the market was made throughout the presentation as he walked through his process/approach.

Next, he looked at the positive effects on returns if you miss the best and worst trading days and what that looks like in practice, given those days tend to cluster together. Andrew then got into the analysis of Volatility, speaking about the assumptions and conclusions of his 2017 paper, “Forecasting A Volatility Tsunami.” Following this, he discussed how we could use VIX dispersion and spikes in Volatility practically when approaching markets, showing real-world examples from periods like 1987, 2008, 2015, and 2018-2019 and how they played out.

The conversation then moved into Andrew’s current market thoughts, where he discussed some of his proprietary indicators like the Volatility Risk Trigger and Momentum Divergence Indicator and their use in identifying potential turning points/regime changes. After that, we got into breadth measures, sentiment indicators, and other favorite charts like Offensive vs. Defensive sectors, Consumer Discretionary vs. Consumer Staples ratio and a Trump vs. Biden portfolio focused on quantifying the market’s views of the upcoming election. 

After his hour-long presentation, Andrew stuck around for another twenty minutes answering questions from the audience and covering a range of topics. Some that stood out were typical Volatility (VIX) misconceptions/analysis faux-pas, questions about his proprietary tools and how they function, and how he’s expressing his current market views in client portfolios.