Equity volatility, as replicated by widely traded ETFs and ETNs linked to the S&P 500® VIX® Futures Index Series, is frequently used to hedge equity portfolios. But is it appropriate for bond portfolios? The bond market is broad and diverse, ranging from low-risk government bonds to relatively high-risk high-yield corporate bonds and emerging market bonds. […]
Frank Luo is senior director, Index Research and Design, at S&P Dow Jones Indices. Frank is responsible for quantitative index research and design covering fixed income and currency indices, derivative strategies, and other indexing concepts.
Frank joined Standard & Poor's in 2009. From 2001 to 2009 Frank was a senior derivatives trader at HSBC Bank USA, New York. Prior to HSBC, Frank was a quantitative analyst with Deutsche Bank, New York, and a derivative analyst with Salomon Brothers, Tokyo, Japan.Frank holds a bachelor's degree in physics from the University of Science and Technology of China and a Ph.D. in physics from the University of Chicago.
Author Archives: Frank Luo
Volatility has emerged as an important asset class in its own right over the past decade. Book-ended by two equity bear markets, the past decade (2000 – 2010) saw heightened financial stresses and large losses in investment portfolios. The investment community’s need for tools and instruments to protect downside risks had never been more acutely […]