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VelocityShares launches VIX FUTURES Long/Short Strategy Indices


VelocityShares has launched the S&P 500 VIX Futures Long/Short Strategy Indices. VelocityShares worked closely with S&P in the design and development of these new indices, which are the first to offer beta exposure to complex volatility strategies. The indices were developed specifically to be referenced by future investment products.

Increased volatility in the global financial markets and large downward moves in the US equity market have resulted in billions of dollars flowing into tail risk funds. Until now, there hasn’t been an alternative to these opaque, actively managed strategies. The recently launched indices provide a transparent, well-defined beta strategy as an alternative to what other managers are positioning as alpha generation.

“Tail Risk and other volatility funds have grown enormously as investors have sought effective means of insulating their portfolios,” says Nick Cherney, Co-founder and Chief Investment Officer of VelocityShares. “Until now, it has been very hard to evaluate the performance of these funds, and this new family of indices will truly change the landscape for volatility and tail risk investors. The innovation here is to take very sophisticated developments in pricing volatility exposure, and deliver these advanced concepts in an efficient and investible index. This is a revolutionary development for volatility investors.”

A paper describing the basic concepts behind the creation of the indices, “Portfolio Applications for VIX-based Investments” was recently published in the November/December issue of Journal of Indexes.


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