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Extracting performance from volatility
Radio Feature 20: Chris Biedermann in conversation with Sona Blessing
 
Monday, July 04, 2011

radio To share his experience with us on a tactical approach to investing in volatility is Chris Biedermann, managing director equity derivatives at Nomura.

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Extracting performance from volatility

Duration: 10:42 

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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?

    Duration: 03:22 


  • 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?

    Duration: 00:42 


  • Q3 - Given that the S&P 500 VIX Mid Term Futures Index is investable - why the preference for an ETF wrapper?

    Duration: 02:11 


  • 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?

    Duration: 01:09 


  • Q5 - Does the product capture intra-day volatility spikes?

    Duration: 00:36 


  • Q6 - When is the product likely to be a 100% invested and when not?

    Duration: 00:35 


  • Q7 - How has the product performed earlier this year (March for e.g. and particularly in May and June 2011)

    Duration: 00:50 


  • Q8 - Its place in, and the benefits of, including such a product in the portfolio?

    Duration: 01:30 



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