Trade VIX based on term structure
Trade VIX based on term structure
Volatility-based strategies emerged from the discovery of the 'low volatility anomaly' — the empirical finding that low-risk stocks tend to deliver higher risk-adjusted returns than high-risk stocks. This was first documented by Robert Haugen and James Heins in the 1970s and later confirmed by Baker, Bradley, and Wurgler (2011). The practical application gained momentum through products like the S&P 500 Low Volatility Index and minimum-variance portfolio research by Roger Clarke, Harindra de Silva, and Steven Thorley.
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Higher-risk profile — expect large swings and deep drawdowns in pursuit of outsized returns.
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Backtested KPIs are estimates derived from historical data and do not guarantee future returns. Markets carry risk of loss.
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