Trading Volatility: At What Cost?
研究了与VIX指数挂钩的交易所交易产品（ETP）为何不适合长期持有，并解释了这些产品如何以及为何会持续亏损，对投资者和金融从业者具有警示意义。
Volatility trading is in vogue. Launched in January 2009, exchange-traded products (ETPs) linked to the CBOE Market Volatility Index (VIX) have enamored no small number of traders, judging by the billions of dollars invested in these new products. The reason is unclear. The most popular VIX ETPs are not suitable buy-and-hold investments and are virtually guaranteed to lose money over time. Indeed, since product launch, ETPs linked to the S&P 500 VIX short-term futures indices have chalked up losses of nearly $4 billion. Yet the market continues to grow. This article describes these products, explaining how and why they lose money. <b>TOPICS:</b>Exchange-traded funds and applications, volatility measures, mutual funds/passive investing/indexing