Four benchmark indexes could not have come at a better time. When on August 18, the Chicago Board Options Exchange and Eurekahedge announced a slew of new benchmark indexes measuring the performance of various volatility investing strategies, they did so at a time when volatility has come front and center in the market discussion. Volatility indexes come at a time of anticipated market volatility With the stock market down nearly 1000 points on the Dow Jones Industrial Average in the first few minutes of trading, then rallying within a relative whisker of break even, before once again selling off at the…
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- Volatility indexes come at a time of anticipated market volatility
- Relative value volatility strategy best performer on absolute and low volatility basis
- Short volatility strategy holds up even after drawdowns, as the long volatility strategy struggles in 2015 to date
- Correlation matrix shows relative value most noncorrelated to stocks, but somewhat correlated to short volatility which may reveal hidden premium collection commonality in the strategies
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