Category Archives: Research

VIX Futures and the Hedging of Bond Portfolios

Equity volatility, as replicated by widely traded ETFs and ETNs linked to the S&P 500® VIX® Futures Index Series, is frequently used to hedge equity portfolios. But is it appropriate for bond portfolios? The bond market is broad and diverse, ranging from low-risk government bonds to relatively high-risk high-yield corporate bonds and emerging market bonds. […]

Diversification Properties of VIX Futures Indices

As in the VIX index spot, the S&P 500 VIX Futures Index Series and the S&P 500 tend to move in opposite directions or.  As shown in Exhibit 1, while the correlation between the spot VIX and the futures index series is not perfect, it is a healthy 89% for the short-term index and 80% […]

A New Application for VIX®: Hedging Bond Portfolios

Equity volatility is frequently used to hedge equity portfolios, but some bond portfolios may also stand to benefit from an allocation to equity volatility.   Read the latest research paper from S&P Indices to learn why corporate and emerging market bonds may enjoy hedging benefits.  Read more…

Contango and Roll Cost

  Although VIX spot is generally mean reverting, the S&P 500 VIX Futures indices are return generating time series that trend down for the majority of their history. This downward trend is particularly obvious in the Short Term index. This is because the price received from the sale of the shorter term contract is generally less than […]

  • CATEGORIES

  • Recent Comments

  • Tags

  • authors

  •  

  • Quick Links

  • Blogroll

  • Follow Us

    RSSTwitterFacebookLinkedInYouTube
  • Archives