Category Archives: Research

Webcast – Volatility: Strategies for Diversification and Risk Management

Title: Volatility: Strategies for Diversification and Risk Management Date: March 27, 2012 Time: 2:00 PM EST 1 CFP CE Credit Register Here What is volatility? How is it measured? What strategies can advisors use to manage risk and control swings in portfolios? Learn the answer to these questions and more as Tom Lydon, Editor of […]

New Paper on Key Tools For Hedging and Tail Risk Management

Bonita Springs, FL – March 12, 2012 – Today Mr. Mitch Boraz, Senior Consultant at the Asset Consulting Group of St. Louis presented a new paper — “Key Tools for Hedging and Tail Risk Management” — at CBOE’s 28th Annual Risk Management Conference (RMC) www.cboermc.com The study, the second of two ACG papers commissioned by […]

The Other Side of VIX

The last three months saw the VIX spot dropped quickly from 30-ish to 10-ish. No wonder XIV, the inverse ETN to the S&P 500 VIX Short-Term Futures Index, was among the top performing ETPs in January. Its return was 30.88% in January 2012 and 14.02% in December 2011. S&P Indices General Disclaimer XIV collects daily […]

VIX Futures and the Hedging of Bond Portfolios

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. […]

Diversification Properties of VIX Futures Indices

As in the VIX index spot, the S&P 500 VIX Futures Index Series and the S&P 500 tend to move in opposite directions or.  As shown in Exhibit 1, while the correlation between the spot VIX and the futures index series is not perfect, it is a healthy 89% for the short-term index and 80% […]

A New Application for VIX®: Hedging Bond Portfolios

Equity volatility is frequently used to hedge equity portfolios, but some bond portfolios may also stand to benefit from an allocation to equity volatility.   Read the latest research paper from S&P Indices to learn why corporate and emerging market bonds may enjoy hedging benefits.  Read more…

Contango and Roll Cost

  Although VIX spot is generally mean reverting, the S&P 500 VIX Futures indices are return generating time series that trend down for the majority of their history. This downward trend is particularly obvious in the Short Term index. This is because the price received from the sale of the shorter term contract is generally less than […]

  • CATEGORIES

  • Recent Comments

  • Tags

  • authors

  •  

  • Quick Links

  • Blogroll

  • Follow Us

    RSSTwitterFacebookLinkedInYouTube
  • Archives