Actively harvests the risk premium observed in VIX futures using transparent Exchange Traded Products (ETPs).
Aims to capture VIX futures spikes to provide portfolio diversification during market turmoil.
Unlike traditional volatility investing, favors long volatility positions.
Data as of 6/30/20
The VXX Bias strategy dynamically allocates between long volatility (via VXX) and short volatility (via SVXY) through broad market cycle trends with a bias towards capturing spikes as volatility moves higher. Buy and sell signals from this indicator are generated through daily evaluation of the VIX futures term structure and recent momentum for the purpose of identifying the underlying trend in volatility.