Portfolio Strategies for Volatility Investing

Posted: 18 Dec 2019 Last revised: 17 Jan 2022

See all articles by Jim Campasano

Jim Campasano

University of Massachusetts Amherst - Isenberg School of Management; Kansas State University - Department of Finance

Date Written: November 20, 2019

Abstract

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.

Note: Full-text article can be found here: https://jai.pm-research.com/content/24/1/43

Keywords: VIX Volatility Portfolio Allocation

JEL Classification: G11, G12

Suggested Citation

Campasano, Jim and 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

University of Massachusetts Amherst - Isenberg School of Management ( email )

Amherst, MA 01003-4910
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
2,700
PlumX Metrics