Volatility as a New Class of Assets? The Advantages of Using Volatility Index Futures in Investment Strategies - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Volatility as a New Class of Assets? The Advantages of Using Volatility Index Futures in Investment Strategies write by Juliusz Jablecki. This book was released on 2014. Volatility as a New Class of Assets? The Advantages of Using Volatility Index Futures in Investment Strategies available in PDF, EPUB and Kindle. This paper investigates the changes in the investment portfolio performance after including VIX. We apply different models for optimal portfolio selection (Markowitz and Black-Litterman) assuming both the possibility of short sale and the lack of it. We also use various assets, data frequencies, and investment horizons to get a comprehensive picture of our results' robustness. Investment strategies including VIX futures do not always deliver higher returns or higher Sharpe ratios for the period 2006-2013. Their performance is quite sensitive to changes in model parameters. However, including VIX significantly increases the returns in almost all cases during the recent financial crisis. This result clearly emphasizes potential gains of having such an asset in the portfolio in case of very high volatility in financial markets.
Volatility as an Asset Class
Volatility as an Asset Class - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Volatility as an Asset Class write by Ryszard Kokoszczynski. This book was released on 2015. Volatility as an Asset Class available in PDF, EPUB and Kindle. Volatility derivatives are today an important group of financial instruments. This book presents an overview of their major classes and their possible applications in investment strategies and portfolio optimization. Volatility is not constant so the book presents its term structure and its potential use in forecasting volatility.
Volatility as an Asset Class
Volatility as an Asset Class - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Volatility as an Asset Class write by Samuel Reber. This book was released on 2007. Volatility as an Asset Class available in PDF, EPUB and Kindle. This thesis examines the characteristics of volatility as an asset class through an analysis of the return characteristics of eight simple volatility trading strategies that involve trading in futures and options on the CBOE volatility index VIX and in S&P 500 Index straddles. Particular attention is paid to the profitability and the potential diversification and hedging benefits arising from adding volatility to an S&P 500 portfolio. While the characteristics of the VIX imply substantial diversification benefits from combining volatility with an S&P 500 portfolio, the overall results for seven out of the eight trading strategies are very disappointing. Except for one VIX futures trading strategy, each trading rule generated large losses. This finding corresponds to the broad empirical evidence for a negative volatility risk premium. More-over, the results indicate that in a persistently low volatility environment, holding near-term VIX futures is very expensive. Trading in long-term futures contracts is much cheaper and therefore, this strategy could provide an interesting instrument to diversify an S&P 500 portfolio. Overall, the findings imply that VIX derivatives cannot replicate the characteristics of the underlying volatility index. The returns of the straddle trading strategies show that the negative time decay effect is particularly important. Hence, straddles should not be created with short-lived options. Furthermore, the results indicate that each volatility trading strategy provides insurance against equity market crashes. Yet, the highly negative volatility risk premium prevents costs effective hedging of S&P 500 portfolios by adding volatility.
The VIX Index and Volatility-Based Global Indexes and Trading Instruments: A Guide to Investment and Trading Features
The VIX Index and Volatility-Based Global Indexes and Trading Instruments: A Guide to Investment and Trading Features - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The VIX Index and Volatility-Based Global Indexes and Trading Instruments: A Guide to Investment and Trading Features write by Matthew T. Moran. This book was released on 2020-04-28. The VIX Index and Volatility-Based Global Indexes and Trading Instruments: A Guide to Investment and Trading Features available in PDF, EPUB and Kindle. During the past two decades, the Cboe Volatility Index (VIX® Index), a key measure of investor sentiment and 30-day future volatility expectations, has generated much investor attention because of its unique and powerful features. The introduction of VIX futures in 2004, VIX options in 2006, and other volatility-related trading instruments provided traders and investors access to exchange-traded vehicles for taking long and short exposures to expected S&P 500 Index volatility for a particular time frame. Certain VIX-related tradable products may provide benefits when used as tools for tail-risk hedging, diversification, risk management, or alpha generation. Gauges of expected stock market volatility for various regions include the VIX Index (United States), AXVI Index (Australia), VHSI Index (Hong Kong), NVIX Index (India) and VSTOXX Index (Europe). All five of these volatility indexes had negative correlations with their related stock indexes price movements, and all five volatility indexes rose more than 50% in 2008. Although the five volatility indexes are not investable, investors can explore VIX-based benchmark indexes that show the performance of hypothetical investment strategies using VIX futures or options. Before investing in volatility-related products, investors should closely study the pricing, roll cost, and volatility features of the tradable products and read the applicable prospectuses and risk disclosure statements.
Options for Volatile Markets
Options for Volatile Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Options for Volatile Markets write by Richard Lehman. This book was released on 2011-08-09. Options for Volatile Markets available in PDF, EPUB and Kindle. Practical option strategies for the new post-crisis financial market Traditional buy-and-hold investing has been seriously challenged in the wake of the recent financial crisis. With economic and market uncertainty at a very high level, options are still the most effective tool available for managing volatility and downside risk, yet they remain widely underutilized by individuals and investment managers. In Options for Volatile Markets, Richard Lehman and Lawrence McMillan provide you with specific strategies to lower portfolio volatility, bulletproof your portfolio against any catastrophe, and tailor your investments to the precise level of risk you are comfortable with. While the core strategy of this new edition remains covered call writing, the authors expand into more comprehensive option strategies that offer deeper downside protection or even allow investors to capitalize on market or individual stock volatility. In addition, they discuss new offerings like weekly expirations and options on ETFs. For investors who are looking to capitalize on global investment opportunities but are fearful of lurking "black swans", this book shows how ETFs and options can be utilized to construct portfolios that are continuously protected against unforeseen calamities. A complete guide to the increased control and lowered risk covered call writing offers active investors and traders Addresses the changing investment environment and how to use options to succeed within it Explains how to use options with exchange-traded funds Understanding options is now more important than ever, and with Options for Volatile Markets as your guide, you'll quickly learn how to use them to protect your portfolio as well as improve its overall performance.
