波动性投资的组合策略

IF 0.4 Q4 BUSINESS, FINANCE Journal of Alternative Investments Pub Date : 2019-11-20 DOI:10.2139/ssrn.3490978
Jim Campasano
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引用次数: 0

摘要

VIX溢价,即VIX期货和VIX指数水平之间的差异,已被证明对波动性回报和投资风险具有预测能力。本文研究了在投资组合结构中应用的一种条件策略,该策略平均分配市场和波动性风险。尽管主要是短期波动,但在金融危机的大部分时间里,该策略都具有波动性。长期和短期波动率配置在样本期内都证明是有利可图的。它们产生的投资组合比标准普尔500指数和先前文献中开发的几种相关波动性策略以及基于波动性的策略指数具有更一致的利润。主题:衍生品、期货和远期合约、投资组合构建、金融危机和金融市场历史、绩效衡量关键发现▪ 从2007年4月到2018年4月,投资标准普尔500指数和波动率指数期货的投资组合平均每月收益1.79%,夏普比率为1.02,是标准普500指数绝对收益和风险调整后收益的两倍多。▪ VIX溢价,即VIX期货和VIX指数水平之间的差异,预示着投资风险和VIX期货回报。根据波动率指数溢价调整波动率指数期货的多头或空头配置,使投资组合能够在大部分时间内持有波动率指数的空头头寸,并在动荡时期持有波动率指标期货的多头头寸。长期和短期波动率指数期货投资都获得了正回报,在整个时期和每个子样本中,投资组合的表现都优于相关策略。▪ 该投资组合在金融危机期间通过持有VIX期货多头头寸获得正回报。2008年,该投资组合的收益率为39.87%,而标准普尔500指数的跌幅为37.00%。
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Portfolio Strategies for Volatility Investing
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%.
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
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
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