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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?
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?
Given that the S&P 500 VIX Mid Term Futures Index is investable - why the preference for an ETF wrapper?
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?
Does the product capture intra-day volatility spikes?
When is the product likely to be a 100% invested and when not?
How has the product performed earlier this year (March for e.g. and particularly in May and June 2011)
Its place in, and the benefits of, including such a product in the portfolio?