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Q1 - Would you like to start by introducing the VIX and given that it is a non investable index how could one still hedge volatility? Couldn’t options be used tactically to short the S&P 500? Or an ETF that shorts the S&P 500?
Why invest in the S&P VIX Mid Term Futures Index?
Q2 - So why would you invest in the S&P 500 VIX Mid Term Futures Index vs. the S&P 500 VIX Short Term Futures Index?
Q3 - Given that the S&P 500 VIX Mid Term Futures Index is investable - why the preference for an ETF wrapper?
Q4 - Besides counterparty risk, there would be model risk, potentially the effect of over-crowing of trades witnessed by the S&P500 VIX Mid-Term futures Index … how would you look at minimising these risks and look to optimise the performance thereof?
Q5 - Does the product capture intra-day volatility spikes?
Q6 - When is the product likely to be a 100% invested and when not?
Q7 - How has the product performed earlier this year (March for e.g. and particularly in May and June 2011)
Q8 - Its place in, and the benefits of, including such a product in the portfolio?