The Economic Value of VIX ETPs

Christensen, Kim; Christiansen, Charlotte; Posselt, Anders Merrild

doi:10.2139/ssrn.3450829

Cited by 1 publication

(1 citation statement)

References 24 publications

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“…Inverse products are basically on the other side of the trade, selling insurance, it is not surprising that a constant allocation of capital to XIV has added value, despite several drawdowns. Christensen, Christiansen, and Posselt (2020) report that for a dynamic allocation strategy, including Inverse VIX in the investment opportunity set can have substantial positive economic value. Additionally, options on the levered and inverse funds on stocks, bonds, commodities and volatility are actively traded are now commonplace (Tengulov & Whaley, 2020).…”

Section: Introductionmentioning

confidence: 99%

What can inverse VIX contribute to an investment portfolio?

Liu

Chang

2020

Int. J Fin Econ

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This study investigates the performance of the Inverse VIX issued by following the frameworks in Bali et al. (2009) and Bali, Brown, and Demirtas (2013), which examine from the perspectives of asset weight of Inverse VIX and holding periods. We employ the refined definition of almost stochastic dominance by Chang, Liu, and Hung (2019) via its first‐ and second‐order definitions. We also compare this asset's performance with S&P 500 and a 30‐year T‐bond. The empirical evidence indicates that the Inverse VIX is preferred over the other two investment alternatives. Our conclusions indicate that the holding period length plays a role. It is recommended to increase the asset weight of the Inverse VIX within its upper limit that is bound to enhance portfolio performance.

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Section: Introductionmentioning

confidence: 99%