TY - JOUR T1 - Volatility as an Asset Class: <em>Holding VIX in a Portfolio</em> JF - The Journal of Alternative Investments SP - 52 LP - 64 DO - 10.3905/jai.2018.21.2.052 VL - 21 IS - 2 AU - Jason P. Berkowitz AU - R. Jared DeLisle Y1 - 2018/09/30 UR - https://pm-research.com/content/21/2/52.abstract N2 - 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 ER -