The S&P 500 Index rose 4% in June 2012, and VIX dropped 29% from 24.06 (5/31/2012) to 17.08 (6/29/2012).
The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index dropped 29.05% and 12.24%, respectively. The S&P 500 Dynamic VIX Futures Index, however, managed to stay nearly flat (-0.58%), due to its algorithm to dynamically reduce volatility exposure in a bull market. The S&P 500 VIX Futures Term Structure Index gained 3.01%.
The S&P 500 Dynamic VEQTOR Index saw a muted growth of 1.74% in June. Its volatility is low at 12.54%, compared to the 20.57% volatility in the 500.
Click the image to see it in full size.
Exhibit: Performance Summary (6/29/2012)
S&P Indices General Disclaimer
Performance of Selected Tradable Volatility Indices: June 2012
The S&P 500 Index rose 4% in June 2012, and VIX dropped 29% from 24.06 (5/31/2012) to 17.08 (6/29/2012).
The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index dropped 29.05% and 12.24%, respectively. The S&P 500 Dynamic VIX Futures Index, however, managed to stay nearly flat (-0.58%), due to its algorithm to dynamically reduce volatility exposure in a bull market. The S&P 500 VIX Futures Term Structure Index gained 3.01%.
The S&P 500 Dynamic VEQTOR Index saw a muted growth of 1.74% in June. Its volatility is low at 12.54%, compared to the 20.57% volatility in the 500.
Click the image to see it in full size.
Exhibit: Performance Summary (6/29/2012)
S&P Indices General Disclaimer
Financial Markets, Futures and Options, Performance, VIX, Volatility