RT Journal Article SR Electronic T1 A Portfolio of Stocks and Volatility JF The Journal of Investing FD Institutional Investor Journals SP 99 OP 106 DO 10.3905/joi.2006.635636 VO 15 IS 2 A1 Robert T. Daigler A1 Laura Rossi YR 2006 UL https://pm-research.com/content/15/2/99.abstract 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