Using a Volatility Hedge to Produce Alpha

Recently we looked at using the VIX to protect assets.

Now we’ve tested using the S&P 500 VIX Mid-Term Futures Index (plus a stocks allocation) offensively to grow assets.

Specifically, the below numbers reflect allocating to the index when:

  1. The stocks allocation moves to sell AND
  2. The VIX indicator moves to buy

NOTE – The ETFs used are for illustrated purposes only. The use of them is not a recommendation to buy or sell the ETFs.

Strategy100% Stocks
% Gain274%56%