This Group is formed to discuss all aspect of Volatility Investing through ETPs or Derivatives. As always we will notify users of this group on new product launches within the Group.

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Reconstructing Volatility-Based ETPs and Some Observations

Exchanged-traded products that offer short or long exposure to volatility have exploded in popularity since their introduction in 2009 with AUM now in excess of $2 billion.  Perhaps more indicative of their popularity is their liquidity.  VXX, which offers long exposure to short-term (1 and 2 month) VIX futures, has traded more than 72 million shares a day on average over the last three months.   At this volume level, each dollar of VXX changes hands 3.5x per day on average.  To put this into context, SPY turns over about 0.2x per day.

Spreading European and U.S. volatility index futures

In our last article - VSTOXX® Futures: Opportunity for volatility traders with European volatility futures- we introduced the background and several ideas to trade VSTOXX® Futures contracts available at Eurex Exchange. One of the strategies discussed included the VSTOXX®/ VIX spread strategy.

How to benchmark low-volatility strategies

Robeco's picture

What is the best way to measure the performance of a strategy focused on risk-adjusted return? David Blitz and Pim van Vliet answer this question in their article, Benchmarking Low-Volatility Strategies, published in the Journal of Index Investing.

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Volatility ETP due diligence

Selecting a Volatility ETP is not simple!

When performing due diligence on Volatility ETPs, I get much the same feeling that i got some years ago, about Commodity ETPs, when they started to be structured away from exposure to front month futures to further out the term structure to mitigate Contango.

Only in the Volatility space it gets a tad more complex as some ETPs incorporate both Long and Short legs to the strategy, or Mix a long Equity position with Long/Short Vol.

The Benefits of Volatility Derivatives in Equity Portfolio Management

The present publication is dedicated to exploring the uses of volatility derivatives by professional investors, with specific emphasis on their equity portfolio management applications.

The research shows how volatility derivatives can be used to optimise access to the equity risk premium in a controlled volatility- risk environment, and to engineer equity portfolios with attractive downside-risk properties.

VIX Your Portfolio

How can investors generate the income and returns required to meet their spending needs or liabilities? economies are deleveraging, growth may continue to disappoint, and yields have been destructively low. Traditional assets (equities and bonds) may not generate the income or returns that investorsseek. One way to address the uncertainty of future market environments is to build portfolios with many engines of return.

Spreading European and U.S. volatility index futures

In our last article - VSTOXX® Futures: Opportunity for volatility traders with European volatility futures- we introduced the background and several ideas to trade VSTOXX® Futures contracts available at Eurex Exchange. One of the strategies discussed included the VSTOXX®/ VIX spread strategy.

Volatile and low yielding safe havens sustain rotation into equities (ETFs/ETPs)

Boost ETP's picture

Dissipating price momentum in equity markets is not undermining investors’ bullish stanceon US, UK and Eurozone. Inflows into US and European equity ETFs are growing, while the overly bullish stance on Japanese equities has weakened.

The stable but soft macro backdrop is unlikely to reverse the rotation out of safe haven and low yield assets, potentially reviving price momentum in equities.

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The Benefits of Volatility Derivatives in Equity Portfolio Management

The present publication is dedicated to exploring the uses of volatility derivatives by professional investors, with specific emphasis on their equity portfolio management applications.

The research shows how volatility derivatives can be used to optimise access to the equity risk premium in a controlled volatility- risk environment, and to engineer equity portfolios with attractive downside-risk properties.

VIX Your Portfolio

How can investors generate the income and returns required to meet their spending needs or liabilities? economies are deleveraging, growth may continue to disappoint, and yields have been destructively low. Traditional assets (equities and bonds) may not generate the income or returns that investorsseek. One way to address the uncertainty of future market environments is to build portfolios with many engines of return.

Hedging Equity Volatility with VIX-Based Instruments

Diversification proved to be a relatively ineffective hedge against 2008’s stock market crash, and since that realization almost five years ago, investors have been searching for an efficient means to insulate equity portfolios from a repeat performance. one asset class that performed well in the face of the crash was volatility the stock market plummeted in September 2008 and the CBoE Volatility Index (the VIX), soared. The S&P 500 fell by 47 percent from its September 2008 peak to its trough in March 2009.

Easy Volatility Investing

We document where volatility returns come from, clearing up some misconception in the process. Then we illustrate five different strategies that will appeal to different investors. Four of the strategies are simple to describe and implement. All of the strategies have had extraordinary returns with high Sharpe Ratios and low correlation to the S&P500, in some cases negative correlation. The returns seems to be too good to be true – like picking up $100 bills in front of a steamroller – so we have a detailed discussion on the risks and the nature of the steamroller.

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