Download this Paper Open PDF in Browser

20 Years of VIX: Fear, Greed and Implications for Alternative Investment Strategies

25 Pages Posted: 2 May 2010 Last revised: 7 Jun 2010

Mikhail Munenzon

Reformation Technologies

Date Written: April 29, 2010


In this article, I investigate the statistical properties and relationships of VIX with alternative investment strategies. I find that different VIX states result in very different risk adjusted performance for all strategies and confirm that significant deviations from normality are observed in the states and the full sample, which are not fully captured by traditional risk metrics. I demonstrate that correlations among strategies are unstable and non-linear, leading to highly concentrated diversification benefits at the times of market stress, which a broad set of exposures is likely to negate. I also demonstrate that at certain states, correlations are very high between traditional and alternative investment strategies and performance characteristics are very similar. I establish that the superior, long term performance of such strategies relative to traditional asset classes is not due to higher returns in good times, but rather better preservation of capital in bad times. Based on empirical data, practical recommendations for investment analysis and risk management are included throughout the article. This is a companion article to ’20 years of VIX: Fear, Greed and Implications for Traditional Asset Classes’ (Munenzon (2010)) available at

Keywords: VIX, Volatility, Portfolio Management, Risk Management, Investment Management, Investment Strategy, Asset Allocation

JEL Classification: G10, G11

Suggested Citation

Munenzon, Mikhail, 20 Years of VIX: Fear, Greed and Implications for Alternative Investment Strategies (April 29, 2010). Available at SSRN: or

Mikhail Munenzon (Contact Author)

Reformation Technologies ( email )

10 Wright Street
Suite 250
Westport, CT 06880
United States

Paper statistics

Abstract Views