RT Journal Article SR Electronic T1 Volatility as an Asset Class: Holding VIX in a Portfolio JF The Journal of Alternative Investments FD Institutional Investor Journals SP 52 OP 64 DO 10.3905/jai.2018.21.2.052 VO 21 IS 2 A1 Jason P. Berkowitz A1 R. Jared DeLisle YR 2018 UL https://pm-research.com/content/21/2/52.abstract AB Portfolio managers have long sought the ability to increase diversification and hedge market downturns without sacrificing upside returns. Using volatility as a diversifying asset is an attractive proposition because of volatility’s asymmetric response to underlying price movements. Theoretically, being able to hold the CBOE Volatility Index in a portfolio should provide substantial benefits to a portfolio. The authors find, however, that currently available VIX-related products are costly in their implementation and yield negative abnormal returns. Even so, if investors insist on investing in volatility assets, using VIX futures offers the best Sharpe ratios.TOPICS: Real assets/alternative investments/private equity, analysis of individual factors/risk premia, portfolio construction