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Ahmed nooruddin
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  • Adding VIX futures to your portfolio  0 comments
    Oct 4, 2009 8:33 AM
    2008 financial meltdown has been a interesting case for portfolio diversification
    all the assets had a correlation had reverted to 1 and nearly all asset prices collapsed


    However VIX has been a interesting case the addition of about 7% VIX
    to the portfolio increased the returns in addition it increased its sharpe ratio
    decreased standard deviation

    I had tested this portfolio over a 25 year period ending 31 December 2007 
    and a report has been published CBOE for 2008 case.

    i will shortly upload data 
     






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