dc.contributor.advisor | Molnar, Peter | nb_NO |
dc.contributor.author | Bordonado, Christoffer | nb_NO |
dc.contributor.author | Samdal, Sven Richard | nb_NO |
dc.date.accessioned | 2014-12-19T14:30:55Z | |
dc.date.available | 2014-12-19T14:30:55Z | |
dc.date.created | 2014-09-02 | nb_NO |
dc.date.issued | 2014 | nb_NO |
dc.identifier | 742887 | nb_NO |
dc.identifier | ntnudaim:11751 | nb_NO |
dc.identifier.uri | http://hdl.handle.net/11250/266809 | |
dc.description.abstract | This paper investigates the performance, hedging ability and price discovery relationship between some of the most popular exchange traded products with the volatility index VIX as the underlying. We find a large difference in the price discovery function for the direct unleveraged VIX ETPs. The VIX ETPs have good trackingperformance, but suffer from time-decay due to the shape of the VIX futures termstructure. This time-decay makes them unsuitable for buy-and-hold investments,but gives rise to a profitable trading strategy using direct and inverse VIX ETPs.The strategy is robust to transaction costs. Despite being negatively correlatedwith the S&P 500, the ETPs perform poorly as hedging tools. By using simplerebalancing rules, the inclusion of VIX ETPs in a portfolio tracking the S&P 500will decrease the risk-adjusted performance of the portfolio. | nb_NO |
dc.language | eng | nb_NO |
dc.publisher | Institutt for industriell økonomi og teknologiledelse | nb_NO |
dc.title | VIX Exchange Traded Products: Performance, Price Discovery and Hedging | nb_NO |
dc.type | Master thesis | nb_NO |
dc.source.pagenumber | 44 | nb_NO |
dc.contributor.department | Norges teknisk-naturvitenskapelige universitet, Fakultet for samfunnsvitenskap og teknologiledelse, Institutt for industriell økonomi og teknologiledelse | nb_NO |