PT  - JOURNAL ARTICLE
AU  - Robert T. Daigler
AU  - Laura Rossi
TI  - A Portfolio of Stocks and Volatility
AID  - 10.3905/joi.2006.635636
DP  - 2006 May 31
TA  - The Journal of Investing
PG  - 99--106
VI  - 15
IP  - 2
4099  - https://pm-research.com/content/15/2/99.short
4100  - https://pm-research.com/content/15/2/99.full
AB  - Purchasing volatility to add to a S&P 500 stock portfolio substantially reduces risk without having much effect on return. This article examines the risk and return properties of the VIX, S&P 500 stock portfolio, and a Markowitz combination of these assets, showing the risk-return benefits of including volatility as an asset. Since the daily correlation between the S&P and VIX assets ranges from –.45 to –.82, there are significant benefits to adding volatility to a portfolio of stocks. Purchasing volatility is now possible via exchange traded futures contracts or over-the-counter instruments.TOPICS: Performance measurement, volatility measures