Performance of VIX straddle and strangle strategies in portfolio management

Detalhes bibliográficos
Autor(a) principal: Serafim, André Luís Ferreira
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/30074
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
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spelling Performance of VIX straddle and strangle strategies in portfolio managementVolatilityVIXPortfolio SelectionDiversificationOptionsStraddleStrangleVIX optionsDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementVolatility products have seen a growth in trading volume, partly due to the interesting characteristics these products demonstrate in relation to the market. The Chicago Board Options Exchange’s S&P 500 Volatility Index (VIX) is seen as a fear gauge and as such is normally used to hedge against big drops in market value as a form of insurance for a portfolio. This thesis extends the original Dash and Moran framework and tests new ways to use the exchange traded product associated with VIX. I study whether VIX option strategies, in specific Straddle and Strangle, can improve the risk adjusted performance of a portfolio of stocks, bonds, and commodities. The study takes place between the periods of 2006 and 2013 and relies on simulations of different portfolio combinations including the main instrument (equity, bond or commodity) and a percentage invested in the VIX strategy. We find that, in general, straddle strategies are not recommended since we obtain a lower volatility and Value-at-Risk with the impact of much lower returns making it an unattractive investment for any investor. On the other hand, the strangle strategy shows improvements in the overall performance of the equity and commodities portfolios mainly in the periods during which securities prices fall and with a low allocation to the strategy (lower than 2%) and highly Out-of-the-Money.Bravo, Jorge Miguel VenturaRUNSerafim, André Luís Ferreira2018-02-08T19:30:35Z2018-02-022018-02-02T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/30074TID:201849518enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:16:33Zoai:run.unl.pt:10362/30074Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:29:24.085822Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Performance of VIX straddle and strangle strategies in portfolio management
title Performance of VIX straddle and strangle strategies in portfolio management
spellingShingle Performance of VIX straddle and strangle strategies in portfolio management
Serafim, André Luís Ferreira
Volatility
VIX
Portfolio Selection
Diversification
Options
Straddle
Strangle
VIX options
title_short Performance of VIX straddle and strangle strategies in portfolio management
title_full Performance of VIX straddle and strangle strategies in portfolio management
title_fullStr Performance of VIX straddle and strangle strategies in portfolio management
title_full_unstemmed Performance of VIX straddle and strangle strategies in portfolio management
title_sort Performance of VIX straddle and strangle strategies in portfolio management
author Serafim, André Luís Ferreira
author_facet Serafim, André Luís Ferreira
author_role author
dc.contributor.none.fl_str_mv Bravo, Jorge Miguel Ventura
RUN
dc.contributor.author.fl_str_mv Serafim, André Luís Ferreira
dc.subject.por.fl_str_mv Volatility
VIX
Portfolio Selection
Diversification
Options
Straddle
Strangle
VIX options
topic Volatility
VIX
Portfolio Selection
Diversification
Options
Straddle
Strangle
VIX options
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2018
dc.date.none.fl_str_mv 2018-02-08T19:30:35Z
2018-02-02
2018-02-02T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/30074
TID:201849518
url http://hdl.handle.net/10362/30074
identifier_str_mv TID:201849518
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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