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S&P 500 Volatility Indexes as an Asset Class
August 20, 2019 • Posted in Equity Premium, Volatility Effects
Should investors consider allocations to products that track equity volatility indexes? In her July 2019 paper entitled “Challenges of Indexation in S&P 500 Index Volatility Investment Strategies”, Margaret Sundberg examines whether behaviors of S&P 500 Index option-based volatility indexes justify treatment of volatility as an asset class. To assess potential strategies, she employs the following indexes:
- S&P 500 Index
- S&P 500 Total Return Index
- S&P 500 Option-implied volatility index (VIX)
- S&P 500 VIX Short-Term Futures Index
- S&P 500 VIX Short-Term Futures Inverse Index
- S&P 500 Iron Condor Index
- S&P 500 PutWrite Index
Using daily time series for these indexes during April 2008 through March 2019, she finds that: (more…)
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