Portfolio Strategies for Volatility Investing

26 Pages Posted: 18 Dec 2019 Last revised: 8 Mar 2020

See all articles by Jim Campasano

Jim Campasano

Kansas State University - Department of Finance

Date Written: November 20, 2019


The VIX premium has been shown to hold predictive power over volatility returns and investment risk. Applied within a portfolio construct, this study proposes a conditional strategy which allocates to market and volatility risk. While the strategy is predominantly short volatility, the strategy owns volatility during much of the financial crises. Both long and short volatility allocations prove profitable over the sample period, producing a portfolio more consistently profitable than the S\&P 500 Index and related strategies.

Keywords: VIX Volatility Portfolio Allocation

JEL Classification: G11, G12

Suggested Citation

Campasano, Jim, Portfolio Strategies for Volatility Investing (November 20, 2019). Available at SSRN: https://ssrn.com/abstract=3490978 or http://dx.doi.org/10.2139/ssrn.3490978

Jim Campasano (Contact Author)

Kansas State University - Department of Finance ( email )

Manhattan, KS 66506
United States

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