VIX Exchange Traded Products: Price Discovery, Hedging, and Trading Strategy
研究了交易量最大的VIX交易所交易产品（ETPs），发现它们能很好跟踪基准指数，但存在时间衰减，不适合长期持有，却可形成高盈利交易策略；作为对冲工具效果不佳，加入投资组合会降低风险调整后收益。
Abstract This paper investigates the most traded VIX exchange traded products (ETPs) with focus on their performance, price discovery, hedging ability, and trading strategy. The VIX ETPs track their benchmark indices well. They are therefore exposed to the same time‐decay (high negative expected returns) as these indices. This makes them unsuitable for buy‐and‐hold investments, but it gives rise to a highly profitable trading strategy. Despite being negatively correlated with the S&P 500, the ETPs perform poorly as a hedging tool; their inclusion in a portfolio based on S&P 500 will decrease the risk‐adjusted performance of the portfolio. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:164–183, 2017