S&P Indices Launches S&P 500 VIX Futures Long/Short Strategy Index Series
NEW YORK, Nov. 3, 2011 /PRNewswire/ -- S&P Indices announced today the launch of the S&P 500® VIX® Futures Long/Short Strategy Index Series, consisting of six indices, each designed to be used as a tool for a strategy that seeks to gain effective exposure to a specific volatility strategy. S&P Indices, with an agreement from the Chicago Board Options Exchange (CBOE), the creator of the CBOE Volatility Index (VIX), has licensed VelocityShares, a creator of exchange traded products for sophisticated investors, to launch exchanged traded products ("ETPs") based upon the index family.
The S&P 500 VIX Futures Long/Short Strategy Index Series takes advantage of the convex return profile of a daily resetting return series. A convex profile is characteristic of an investment strategy that generally seeks to participate in market increases while also seeking to mute losses in market downturns.
This convex return profile, combined with the negative mean and positive skew of S&P 500 VIX Futures Index returns, targets a profile with risk-return characteristics that can be tailored to specific investor needs. Each index in the series includes both long and short positions, each of which reset daily, in S&P VIX futures indices. The target ratio of long exposure to short exposure is different for each index, and the indices are rebalanced to target weights on a quarterly basis.
"The S&P 500 VIX Futures Long/Short Strategy Index Series is designed to be used as a tool by sophisticated investors looking to measure a specific volatility exposure," says Berlinda Liu, director of index research and design at S&P Indices. "They are the next generation of volatility indices providing traders and institutional investors with a tool for a strategy that seeks to harness volatility markets efficiently.""We are very pleased to have been instrumental in the development of this breakthrough offering," says Nick Cherney, Co-founder and Chief Investment Officer of VelocityShares. "This new family of indices revolutionizes the landscape for volatility and tail risk investors." The six indices launched today, as part of the S&P 500 VIX Futures Long/Short Strategy Index Series, include:
- The S&P 500 VIX Futures Variable Long/Short Index – Short Term; and the S&P 500 VIX Futures Variable Long/Short Index – Mid Term: These indices are designed as a tool for a strategy that seeks to provide a potential opportunity to achieve a positive return from either the negative carry in VIX futures or a large spike in CFE VIX futures.
- The S&P 500 VIX Futures Tail Risk Index – Short Term; and the S&P 500 VIX Futures Tail Risk Index – Mid Term: These indices are designed as a tool for a strategy that seeks to provide a long volatility exposure, the cost (due to negative roll yield) of which may potentially be partially or completely offset by a rebalanced short exposure.
- The S&P 500 VIX Futures Short Volatility Hedged Index – Short Term; and the S&P 500 VIX Futures Short Volatility Hedged Index – Mid Term: These indices are designed as a tool for a strategy that seeks to provide a potential opportunity to achieve a positive return from the negative carry in CFE VIX futures, while providing a hedge against a large spike in CFE VIX futures.
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