Third Party Papers


 

Differentiating and Benchmarking Volatility-Based Investment Strategies Utilizing the CBOE EurekaHedge Volatility Indexes

-Christopher DeMeo

Volatility has always been part of the portfolio construction dialogue, although more often as a byproduct of investing in risky assets rather than as an explicit opportunity for a diversified return source. Over the past decade, there has been a growing focus on volatility-based strategies...

 

VIX - Fact & Fiction

-CBOE

Hailed as a revolutionary benchmark when it was first introduced by CBOE in 1993, the CBOE Volatility Index (VIX) rapidly gained traction as the preeminent barometer for measuring market volatility. VIX soon was closely followed, widely quoted, and highly publicized...

 

VIX Futures and Options – A Case Study of Portfolio Diversification During the 2008 Financial Crisis

-Edward Szado

In 2008, the S&P 500 experienced a drawdown of about 50% from peak to trough. Many assets which are typically considered effective equity diversifiers also faced precipitous losses. Most hedge fund strategies and commodity indices were not immune from declining. For example... 

 

Using VIX In A Diversified Portfolio

-CBOE

Diversification is vital to reducing risk in an investor's portfolio. At its simplest, it is intended to cushion against market fluctuations: acquire two uncorrelated assets, and if you incur a loss in one, a gain in the other should offset it. In 2008, the U.S. stock market lost more than...

 

Volatility as an Asset Class

-Clifford W. Stanton

"... the only thing we have to fear is fear itself." -Franklin D. Roosevelt. That famous phrase was uttered in the midst of a banking crisis in 1993, a situation not entirely unlike the one investors faced in 2008. A recounting of the events of 2008 would be highly redundant at this point...

 

VIX - Fear of What?

- David J. Hait

The CBOE Volatility Index, or VIX, is described by the CBOE as "a measure of market expectation of short-term volatility conveyed by SPX option prices." The VIX is calculated by construction a set of synthetic variance swaps using the prices of S&P 500 index options traded on...