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Asset Class ETF Interactions with VIX

September 7, 2022 • Posted in Volatility Effects

How have different asset classes recently interacted with the CBOE Volatility Index (VIX)? To investigate, we consider relationships between VIX and the exchange-traded fund (ETF) asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) or the Simple Asset Class ETF Value Strategy (SACEVS) at a monthly measurement frequency. We consider both overall relationships and relationships across ranges of VIX. Using end-of-month levels of VIX since January 1990 and dividend-adjusted monthly closing prices for the asset class proxies as available since July 2002, all through July 2022, we find that: (more…)

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