{"title":"波动性投资的组合策略","authors":"Jim Campasano","doi":"10.2139/ssrn.3490978","DOIUrl":null,"url":null,"abstract":"The VIX premium, the difference between VIX futures and VIX Index levels, has been shown to have predictive power over volatility returns and investment risk. This article examines a conditional strategy applied within a portfolio construct allocating equally to market and volatility risk. Although it is predominantly short volatility, the strategy owns volatility during much of the financial crisis. Both long and short volatility allocations prove to be profitable over the sample period. They produce a portfolio with more consistent profits than the S&P 500 Index and several related volatility strategies developed in previous literature and those available as volatility-based strategy indexes. TOPICS: Derivatives, futures and forward contracts, portfolio construction, financial crises and financial market history, performance measurement Key Findings ▪ From April 2007–2018, a portfolio that invests in the S&P 500 Index and VIX futures earns 1.79%, on average, each month, with a 1.02 Sharpe ratio, more than doubling the absolute and risk-adjusted returns of the S&P 500 Index. ▪ The VIX premium, the difference between VIX futures and VIX Index levels, foretells investment risk and VIX futures returns. Conditioning a long or short VIX futures allocation on the VIX premium enables the portfolio to hold short VIX futures positions for most of the time and long VIX futures positions during turbulent periods. Both long and short VIX futures investments earned positive returns, and the portfolio outperformed related strategies over the entire period and each subsample. ▪ The portfolio posts positive returns during the financial crisis by holding long VIX futures positions. In 2008, the portfolio earns 39.87%, while the S&P 500 Index lost 37.00%.","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":"24 1","pages":"43 - 60"},"PeriodicalIF":0.4000,"publicationDate":"2019-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Portfolio Strategies for Volatility Investing\",\"authors\":\"Jim Campasano\",\"doi\":\"10.2139/ssrn.3490978\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The VIX premium, the difference between VIX futures and VIX Index levels, has been shown to have predictive power over volatility returns and investment risk. This article examines a conditional strategy applied within a portfolio construct allocating equally to market and volatility risk. Although it is predominantly short volatility, the strategy owns volatility during much of the financial crisis. Both long and short volatility allocations prove to be profitable over the sample period. They produce a portfolio with more consistent profits than the S&P 500 Index and several related volatility strategies developed in previous literature and those available as volatility-based strategy indexes. TOPICS: Derivatives, futures and forward contracts, portfolio construction, financial crises and financial market history, performance measurement Key Findings ▪ From April 2007–2018, a portfolio that invests in the S&P 500 Index and VIX futures earns 1.79%, on average, each month, with a 1.02 Sharpe ratio, more than doubling the absolute and risk-adjusted returns of the S&P 500 Index. ▪ The VIX premium, the difference between VIX futures and VIX Index levels, foretells investment risk and VIX futures returns. Conditioning a long or short VIX futures allocation on the VIX premium enables the portfolio to hold short VIX futures positions for most of the time and long VIX futures positions during turbulent periods. Both long and short VIX futures investments earned positive returns, and the portfolio outperformed related strategies over the entire period and each subsample. ▪ The portfolio posts positive returns during the financial crisis by holding long VIX futures positions. In 2008, the portfolio earns 39.87%, while the S&P 500 Index lost 37.00%.\",\"PeriodicalId\":45142,\"journal\":{\"name\":\"Journal of Alternative Investments\",\"volume\":\"24 1\",\"pages\":\"43 - 60\"},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2019-11-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Alternative Investments\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3490978\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Alternative Investments","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3490978","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
The VIX premium, the difference between VIX futures and VIX Index levels, has been shown to have predictive power over volatility returns and investment risk. This article examines a conditional strategy applied within a portfolio construct allocating equally to market and volatility risk. Although it is predominantly short volatility, the strategy owns volatility during much of the financial crisis. Both long and short volatility allocations prove to be profitable over the sample period. They produce a portfolio with more consistent profits than the S&P 500 Index and several related volatility strategies developed in previous literature and those available as volatility-based strategy indexes. TOPICS: Derivatives, futures and forward contracts, portfolio construction, financial crises and financial market history, performance measurement Key Findings ▪ From April 2007–2018, a portfolio that invests in the S&P 500 Index and VIX futures earns 1.79%, on average, each month, with a 1.02 Sharpe ratio, more than doubling the absolute and risk-adjusted returns of the S&P 500 Index. ▪ The VIX premium, the difference between VIX futures and VIX Index levels, foretells investment risk and VIX futures returns. Conditioning a long or short VIX futures allocation on the VIX premium enables the portfolio to hold short VIX futures positions for most of the time and long VIX futures positions during turbulent periods. Both long and short VIX futures investments earned positive returns, and the portfolio outperformed related strategies over the entire period and each subsample. ▪ The portfolio posts positive returns during the financial crisis by holding long VIX futures positions. In 2008, the portfolio earns 39.87%, while the S&P 500 Index lost 37.00%.
期刊介绍:
The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices