PT  - JOURNAL ARTICLE
AU  - Jason P. Berkowitz
AU  - R. Jared DeLisle
TI  - Volatility as an Asset Class: <em>Holding VIX in a Portfolio</em>
AID  - 10.3905/jai.2018.21.2.052
DP  - 2018 Sep 30
TA  - The Journal of Alternative Investments
PG  - 52--64
VI  - 21
IP  - 2
4099  - https://pm-research.com/content/21/2/52.short
4100  - https://pm-research.com/content/21/2/52.full
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