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…
Reaping Roll Yield from a Quasi Volatility Neutral Strategy
On February 8th, I discussed the use of the inverse VIX ETP (XIV) to collect the roll yield from the VIX futures. When stocks fall and volatility rises, however, such a naked short position drops drastically. From 4/2 to 4/10, XIV dropped from 12.29 to 9.94, and lost 19% of its value (it’s now back [...]