Next week VIX-related benchmark indexes and investable instruments will be discussed at three events in New York:
Tuesday, April 24th – NY QWAFAFEW event begins at 5:30 p.m. at 40 E. 43rd St.
- 6:20 p.m. presentation on “Tail Risk Management, The VIX®, and Benchmark Indexes”
Wednesday, April 25th – Capital Link Forum begins at 7:30 a.m. at 1 E. 60th St.
- 5:05 p.m. presentation on “Equity Volatility Management”
Thursday, April 26th – ETF Global Awards Dinner & Workshop begins at 1:30 p.m. at Grand Hyatt
- 2:45 p.m. panel on Using Options to Manage Market Volatility
Certain financial professionals may attend these events run by third parties. Please click on the website links above to learn more about registration and payment.
VIX FUTURES AND SPOT VALUES
Yesterday’s closing values were 21.33 for VIX May 2012 futures and 19.55 for the VIX spot index. www.cboe.com/VIX
PAPER ON HEDGING AND TAIL RISK MANAGMENT
The Asset Consulting Group recently published a new 4-page study — “Key Tools for Hedging and Tail Risk Management”
Exhibit O of the paper found that the addition of a 5% or 10% allocation to any of these three indexes over a certain time period
- S&P 500 VIX Mid-term Futures Index (VXMT)
- S&P 500 Dynamic VIX Futures Index (DyVX)
- S&P 500 VIX Futures Tail Risk Index – Short Term (VTRsk)
— could have lowered the volatility and increased the returns for a portfolio of S&P 500 stocks.
Please read the risk disclosure below for more information. More papers are available at www.cboe.com/benchmarks
Asset Consulting Group is an investment consulting firm which provides a full scope of investment advisory services to a select group of clients. The Chicago Board Options Exchange® (CBOE®) provided financial support for this paper. The CBOE S&P 500 indices are designed to represent proposed hypothetical strategies. The actual performance of investment vehicles such as mutual funds can have significant differences from the performance of the hypothetical indices. Like many passive indices, the indices do not take into account significant factors such as transaction costs and taxes. Investors attempting to replicate the indices should discuss with their advisors possible timing and liquidity issues. Past performance does not guarantee future results. Standard & Poor’s®, S&P®, and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC and are licensed for use by the CBOE. CBOE and Chicago Board Options Exchange are registered trademarks of the CBOE, and the CBOE indices are servicemarks of the CBOE. CBOE calculates and disseminates the indices. The methodology of the indices are owned by CBOE and may be covered by one or more patents or pending patent applications. The information contained in this report is based on information obtained by ACG from sources that are believed to be reliable. Opinions and estimates offered constitute our judgment and are subject to change without notice, as are statements of financial market trends, which are based on current market conditions. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. This material is not intended as an offer or solicitation for the purchase or sale of any financial instrument. The views and strategies described may not be suitable for all investors. This material has been prepared for informational purposes only, and is not intended to provide, and should not be relied on for accounting, legal or tax advice. References to future returns are not promises or even estimates of actual returns a client portfolio may achieve. Any forecasts contained herein are for illustrative purposes only and are not to be relied upon as advice or interpreted as a recommendation. The views expressed are those of Asset Consulting Group.
They are subject to change at any time. These views do not necessarily reflect the opinions of any other firm.