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Constructing Zero-Beta VIX Portfolios with Dynamic CAPM

Jiaqi Chen and Michael L. Tindall I June 2014

Abstract

This whitepaper focuses on actively managed portfolios of VIX derivatives constructed to reduce portfolio correlation with the equity market. The portfolio construction method is capable of constructing zero-beta portfolios with positive alpha.


Jiaqi Chen and Michael L. Tindall's full whitepaper is available here.

 

Disclosure

Investing involves risk, including the possible loss of principal. Carefully consider the Strategy’s investment objectives, risk factors, charges and expenses before investing. This Strategy is actively managed and there is no guarantee investments selected and strategies employed will achieve the intended results. Strategy is subject to change. Active management may also increase transaction costs. The Strategy is not diversified, and narrowly focused investments may be subject to higher risk.


Past performance does not guarantee future results. This information has been provided by Invest In Vol. All material presented is compiled from sources believed to be reliable and current, but accuracy cannot be guaranteed. This is not to be construed as an o er to buy or sell any financial instruments and should not be relied upon as the sole factor in an investment-making decision. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. The views and opinions expressed are those of the portfolio manager at the time of publication and are subject to change. There is no guarantee that these views will come to pass. As with all investments there are associated inherent risks. Please obtain and review all financial material carefully before investing. Investments are subject to change without notice.


For a more complete disclosure please visit www.investinvol.com/disclosure.

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