0. Trading & Managing Volatility Berlinda Liu, CFA Aye Soe S&P Indices March 15, For Financial Professionals – Not for Public Distribution

1. Evolution of Volatility Management Indices
Implied
Volatility
Indices
Volatility Futures Indices
Intelligent Roll Volatility Futures Indices
Vol-Managed Enhanced Equity Indices
Measuring
Trading
Managing
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2. How to measure volatility?
Implied
Volatility
Indices
Volatility Futures Indices
Intelligent Roll Volatility Futures Indices
Vol-Managed Enhanced Equity Indices
VIX®
VXV®
Measuring
Trading
Managing
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3. The Tale of Two Volatilities
Implied & Realized Volatility
Realized volatility is the standard deviation of the continuously compounded returns within a specific time horizon.
Implied volatility is the volatility implied by the market price of the option based on an option pricing model.
VIX & VXV
VIX = 1 month implied volatility of S&P 500®
VXV = 3 month implied volatility of S&P 500
The VIX/VXV ratio measures expectations of short term event risk versus longer term systemic risk. In “normal” environments, the ratio is lower than 1.
VIX and VXV are negatively correlated to equity markets, providing diversification and tail risk hedging benefits. But neither is replicable.
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4. How to trade volatility?
Implied
Volatility
Indices
Volatility Futures Indices
Intelligent Roll Volatility Futures Indices
Vol-Managed Enhanced Equity Indices
S&P 500 VIX Short Term VIX Futures Index ®
S&P 500 VIX Mid Term Futures Index ®
Inverse
Leveraged
S&P 500 Dynamic VIX Futures ®
S&P 500 VIX Futures Enhanced Roll ®
S&P 500 VIX Futures Term Structure ®
Measuring
Trading
Managing
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5. S&P 500 VIX Futures Index Series
The S&P 500 VIX Short-Term Futures Index measures the return from a daily rolling long position in the first and second month VIX futures contracts.
The S&P 500 VIX Mid-Term Futures Index measures the return from a daily rolling long position in the fourth, fifth, sixth and seventh month VIX futures contracts.
Unlike spot VIX, these indices are replicable. But they have negative correlation and tail risk hedging benefits of spot VIX.
Date
S&P 500
VIX Spot
S&P 500 VIX Short Term Futures Index
S&P 500 VIX Mid Term Futures Index
10/15/2008
-9.46%
22.80%
13.13%
8.06%
12/1/2008
-9.35%
21.46%
12.01%
10.02%
9/29/2008
-9.20%
29.63%
13.11%
7.99%
10/9/2008
-7.92%
10.53%
9.50%
4.92%
11/20/2008
-6.94%
8.51%
5.15%
4.81%
8/8/2011
-6.88%
40.55%
17.44%
6.96%
11/19/2008
-6.30%
9.34%
6.33%
10/22/2008
-6.27%
27.11%
9.85%
6.41%
10/7/2008
-5.91%
3.08%
9.17%
0.74%
1/20/2009
-5.43%
20.59%
12.06%
5.86%
11/5/2008
-5.35%
13.37%
6.32%
5.73%
11/12/2008
-5.28%
7.85%
7.44%
2.81%
11/6/2008
-5.13%
15.46%
11.12%
4.62%
2/10/2009
-5.03%
6.71%
6.11%
2.10%
8/4/2011
-4.90%
30.32%
19.35%
8.16%
9/15/2008
-4.83%
21.14%
5.84%
3.09%
9/17/2008
17.85%
5.57%
3.15%
3/2/2009
-4.77%
12.74%
6.35%
2.08%
2/17/2009
-4.64%
12.53%
4.25%
2.54%
8/18/2011
-4.55%
30.10%
17.59%
10.20%
Correlation w/ S&P 500
100%
-77%
-80%
-78%
Correlation w/ VIX Spot
88%
81%
Source: S&P Indices.  Correlations are based on daily returns from 12/20/2005 through 1/31/2012.  Past performance is no guarantee of future results.  Some of the data used to determine correlations reflects hypothetical historical performance.  Please see the Performance Disclosure on slide 22 of this presentation for important information related to back-tested information.
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6. VIX Term Structure
In the S&P 500 VIX Short-Term Futures Index, a positive roll cost occurs on 76% of days, with an average daily loss of 0.18%.
In the S&P 500 VIX Mid-Term Futures Index, a positive roll cost occurs on 64% of days, with a lower average daily loss of 0.07%.
Source: 2/15/12
Source: Liu & Dash, Volatility ETFs & ETNs, Journal of Trading, Winter 2012.
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7. The Contango Problem
Source: S&P Indices.  Based on daily returns from 12/20/2005 through 1/31/2012.  Past performance is no guarantee of future results.  Some of the information used in this chart reflects hypothetical historical performance.  Please see the Performance Disclosure on slide 22 presentation for important information related to back-tested information.
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8. The Other Side of VIX
ETPs linked to the inverse of the S&P 500 VIX Futures Indices collect positive roll yield when
The VIX futures curve is in contango, and
The VIX spot remains flat or down
Inverse VIX Futures ETPs underperform when VIX rises.
Available ETPs include
XIV
SVXY
Backwardation
Period
Source: S&P Indices, Bloomberg.  Based on daily returns through 1/31/2012.  Past performance is no guarantee of future results.  It is not possible to invest directly in an index.  The comparison in the chart comparing XIV to the S&P 500 VIX Short-Term Futures is for illustrative purposes only and does not take costs, fees or other expenses into account.  Such costs would lower the actual performance of any investment.  UX1, UX2, UX3 represent generic VIX futures price series of 1-month, 2-month and 3-month contracts, respectively.  S&P does not sponsor, endorse, promote or sell any product linked to an S&P Index.  For additional information regarding XIV, please see the Performance Disclosure on page 22.
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9. Addressing the Term Structure Decay
Intelligent roll indices seek to address the contango problem by allocating across the term structure.
Allocation is typically between the short and medium end of the curve.
May involve
Long and short positions.
Static or dynamic allocations
Examples
S&P 500 Dynamic VIX Futures Index
S&P 500 VIX Futures Term Structure Index
S&P 500 VIX Futures Enhanced Roll Index
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10. S&P 500 Dynamic VIX Futures Index
Dynamically allocates long and short positions between the S&P 500 VIX Short and Medium Term Futures Indices.
Allocations driven by the Implied Volatility Term Structure (IVST)
IVTSt-1 = VIXt-1/VXVt-1
Implied Volatility Term Structure ( IVTS t-1 )
Target Short-Term Volatility Allocation ( TS t )
Target Mid-Term Volatility Allocation ( TM t )
Less than 90%
-0.30
0.70
90% ≤ IVTSt-1 < 100%
-0.20
0.80
100% ≤ IVTSt-1 < 105%
0.00
1.00
105% ≤ IVTSt-1 ≤ 115%
0.25
0.75
More than 115%
0.50
Graduated daily changes towards target positions by limiting daily change to 12.5%
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11. Preserving the Tail Risk Hedge Benefits
Date
S&P 500
VIX Spot
S&P 500 VIX Short Term Futures Index
S&P 500 VIX Mid Term Futures Index
S&P 500 Dynamic VIX Futures Index
10/15/2008
-9.46%
22.80%
13.13%
8.06%
10.63%
12/1/2008
-9.35%
21.46%
12.01%
10.02%
10.27%
9/29/2008
-9.20%
29.63%
13.11%
7.99%
9.30%
10/9/2008
-7.92%
10.53%
9.50%
4.92%
7.24%
11/20/2008
-6.94%
8.51%
5.15%
4.81%
4.90%
8/8/2011
-6.88%
40.55%
17.44%
6.96%
9.69%
11/19/2008
-6.30%
9.34%
6.33%
7.09%
10/22/2008
-6.27%
27.11%
9.85%
6.41%
8.14%
10/7/2008
-5.91%
3.08%
9.17%
0.74%
5.04%
1/20/2009
-5.43%
20.59%
12.06%
5.86%
2.24%
11/5/2008
-5.35%
13.37%
6.32%
5.73%
5.88%
11/12/2008
-5.28%
7.85%
7.44%
2.81%
3.99%
11/6/2008
-5.13%
15.46%
11.12%
4.62%
5.46%
2/10/2009
-5.03%
6.71%
6.11%
2.10%
1.06%
8/4/2011
-4.90%
30.32%
19.35%
8.16%
11.08%
9/15/2008
-4.83%
21.14%
5.84%
3.09%
2.42%
9/17/2008
17.85%
5.57%
3.15%
3.46%
3/2/2009
-4.77%
12.74%
6.35%
2.08%
2/17/2009
-4.64%
12.53%
4.25%
2.54%
1.19%
8/18/2011
-4.55%
30.10%
17.59%
10.20%
12.10%
Correlation w/ S&P 500
100%
-77%
-80%
-78%
-72%
Correlation w/ VIX Spot
88%
81%
65%
Source: S&P Indices.  Correlations are based on daily returns from 12/20/2005 through 1/31/2012.  Past performance is no guarantee of future results.  Some of the data used to determine correlations reflects hypothetical historical performance.  Please see the Performance Disclosure on slide 22 presentation for important information related to back-tested information.
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12. Navigating the Term Structure
S&P 500
VIX Spot
S&P 500 VIX Short Term Futures Index
S&P 500 VIX Mid Term Futures Index
S&P 500 Dynamic VIX Futures Index
Return
1 Year
4.22%
-0.46%
-15.55%
-5.16%
17.02%
2 Years
12.84%
-11.14%
-53.64%
-13.33%
16.37%
3 Years
19.24%
-24.31%
-59.43%
-18.41%
10.22%
5 Years
0.33%
13.28%
-23.22%
11.46%
34.36%
Volatility
23.40%
130.79%
77.85%
38.97%
31.14%
20.73%
122.75%
69.77%
34.89%
24.41%
22.40%
111.88%
63.50%
32.23%
22.23%
26.72%
119.46%
64.52%
34.41%
27.63%
Source: S&P Indices.  Returns and volatility are annualized figures for 1, 2, 3 and 5 year periods ending 1/31/2012.  Past performance is no guarantee of future results.  Some of the data used to determine returns and volatility reflect hypothetical historical performance.  Please see the Performance Disclosure on slide 22 presentation for important information related to back-tested information.
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13. How to manage volatility in an equity portfolio?
Implied
Volatility
Indices
Volatility Futures Indices
Intelligent Roll Volatility Futures Indices
Vol-Managed Enhanced Equity Indices
S&P 500 VEQTOR®
S&P 500 Low Volatility ®
S&P 500 Risk Control
Measuring
Trading
Managing
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14. Volatility Managed S&P 500
Managing Volatility of S&P 500 Exposure
Using VIX Derivatives Overlay
Using Stock Selection & Alternative Weighting
Allocating Between Risky and Risk-Free Assets
S&P 500
VEQTOR®
S&P 500
Low Volatility®
S&P 500
Risk Control
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15. VEQTOR – Volatility Equity Allocator
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16. VEQTOR – Volatility Equity Allocator
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17. Dynamic Allocation in Action
Reduced volatility exposure
in benign environment
Higher volatility exposure
(up to 40%) in stress environment
Source: S&P Indices.  Based on daily returns from 12/20/2005 through 1/31/2012.  Past performance is no guarantee of future results.  Some of the information used in this chart reflects hypothetical historical performance.  Please see the Performance Disclosure on slide 22 presentation for important information related to back-tested information.
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18. Dynamic Allocation in Action
Risk-Return Statistics
Annual Returns
S&P 500
S&P 500 VEQTOR
S&P 500 Low Volatility
Annualized Returns
1 Year
4.22%
18.47%
14.56%
2 Years
12.84%
11.96%
15.13%
3 Years
19.24%
15.48%
16.73%
5 Years
0.33%
16.29%
3.85%
Risk Stats
5 Year Volatility
18.83%
16.26%
12.82%
5 Year Return/Risk
0.017
1.002
0.300
Correlation with S&P 500 using Daily Returns
100%
61.72%
93.86%
Correlation with S&P 500 using Monthly Returns
6.47%
90.60%
S&P 500
S&P 500 VEQTOR
S&P 500 Low Volatility
2006
15.79%
14.15%
19.69%
2007
5.49%
17.20%
0.58%
2008
-37.00%
21.29%
-21.41%
2009
26.46%
23.39%
19.22%
2010
15.06%
1.65%
13.36%
2011
2.11%
17.41%
14.78%
Source: S&P Indices.  Returns and volatility are annualized figures for 1, 2, 3 and 5 year periods ending 1/31/2012.  Past performance is no guarantee of future results.  Some of the data used to determine returns and volatility reflect hypothetical historical performance.  Please see the Performance Disclosure on slide 22 presentation for important information related to back-tested information
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19. Low Volatility Investing: Research
Low volatility investing has been around for over 40 years.
Black, Jensen and Scholes (1972) first strategized that low risk stocks may earn high risk-adjusted returns.
Fama and French (1992); Blitz and van Vliet (2007); and Baker, Bradley and Wurgler (2011) followed up that high beta or high volatility stocks are not rewarded with higher returns. These studies involved quantile portfolios based on ranking of securities on a risk measure.
Clarke, de Silva, and Thorley (2006) demonstrated using mean/variance optimization that minimum variance portfolios earn higher return with lower realized risk.
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20. Constructing Low Volatility Indices
Approach # 1 – Optimization Based Low Volatility Portfolio
Minimum variance portfolio based on optimization models
Risk reduction is achieved through estimated factor models or covariance matrices.
Used by MSCI and Russell
Approach # 2 – Ranking Based Low Volatility Portfolio
Portfolio of securities that are least volatile based on a past volatility measure
Risk reduction is achieved through selection of lower volatility securities (or conversely, removal of higher volatility securities)
Used by S&P Indices
Research shows that both approaches are effective at reducing portfolio volatility over a long-term investment horizon by 25-30%.
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21. The Case for Low Volatility Investing
Data from 12/31/ /31/ Returns are total return in USD. Data for MSCI US Minimum Volatility is from Data for Russell is from Graphs are provided for illustrative purposes only. Past performance is not a guarantee of future results. This graph reflects hypothetical historical performance. Please see the Performance Disclosure at the end of this document for more information regarding the inherent limitations associated with backtested performance.
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22. Performance Disclaimer
The inception date of the S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index was January 22, 2009, at the market close. All information presented prior to the index inception date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at
The inception date of the S&P 500 Dynamic VIX Futures Index was June 29, 2011 at the market close. All information presented prior to the index inception date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at
The inception date of the S&P 500 Dynamic VEQTOR Index was November 18, 2009, at the market close. All information presented prior to the index inception date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at
The inception date of the S&P 500 Low Volatility Index was April 18, 2011, at the market close. All information presented prior to the index inception date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at
The VelocityShares Daily Inverse VIX Short-Term ETN (XIV) inception date was 11/29/10 and has a maturity date of 12/4/30.  XIV are senior, unsecured obligations of Credit Suisse AG.  The returns on the ETNs are linked to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures™ Index ER less the investor fee.  On any calendar day, the Daily Investor Fee is equal to the product of (1) the Closing Indicative on the immediately preceding calendar day multiplied by (2) the Daily ETN Performance for that series on such calendar day multiplied by (3) the quotient of (a) divided by (b) 365.  The ETNs provide traders with an exchange traded instrument enabling them to efficiently express their market views on the short-term futures contracts on the CBOE SPX Volatility Index® (the “VIX®”). The ETNs do not guarantee any return of principal at maturity and do not pay any interest during their term.  The index was designed to provide investors with exposure to one or more maturities of futures contracts on the VIX®, which reflects implied volatility of the S&P 500® Index at various points along the volatility forward curve. The calculation of the VIX® is based on prices of put and call options on the S&P 500® Index. The S&P 500 VIX Short-Term Futures™ Index ER targets a constant weighted average maturity of 1 month. The ETNs are linked to the daily inverse return of the index and do not represent an investment in the inverse of the VIX®.  The ETNs are not sponsored, endorsed, sold or promoted by S&P or CBOE and S&P and CBOE make no representation regarding the advisability of investing in the ETNs.
Past performance is not an indication of future results. Prospective application of the methodology used to construct the S&P 500 VIX Short Term Futures Index, the S&P 500 VIX Mid Term Futures Index, the S&P 500 Dynamic VIX Futures Index, the S&P 500 Dynamic VEQTOR Index and the S&P 500 Low Volatility Index may not result in performance commensurate with the back-test returns shown. The back-test period does not necessarily correspond to the entire available history of the index. Please refer to the methodology paper for the index, available at for more details about the index, including the manner in which it is rebalanced, the timing of such rebalancing, criteria for additions and deletions, as well as all index calculations. It is not possible to invest directly in an Index.
Also, another limitation of hypothetical information is that generally the index is prepared with the benefit of hindsight. Back-tested data reflect the application of the index methodology and selection of index constituents in hindsight. No hypothetical record can completely account for the impact of financial risk in actual trading. For example, there are numerous factors related to the equities (or fixed income, or commodities) markets in general which cannot be, and have not been accounted for in the preparation of the index information set forth, all of which can affect actual performance.
The index returns shown do not represent the results of actual trading of investor assets. Standard & Poor’s maintains the indices and calculates the index levels and performance shown or discussed, but does not manage actual assets. Index returns do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of theses fees and charges would cause actual and back-tested performance to be lower than the performance shown. In a simple example, if an index returned 10% on a US $100,000 investment for a 12-month period (or US$ 10,000) and an actual asset-based fee of 1.5% were imposed at the end of the period on the investment plus accrued interest (or US$ 1,650), the net return would be 8.35% (or US$ 8,350) for the year. Over 3 years, an annual 1.5% fee taken at year end with an assumed 10% return per year would result in a cumulative gross return of 33.10%, a total fee of US$ 5,375, and a cumulative net return of 27.2% (or US$ 27,200).
VIX® is a registered trademark of Chicago Board Options Exchange, Incorporated. The VIX methodology is the property of the Chicago Board Options Exchange ("CBOE"). CBOE has granted Standard & Poor’s Financial Services LLC ("S&P"), a license to use the VIX methodology to create the S&P 500 Dynamic VIX, S&P 500 VIX Mid-Term Futures Index, S&P 500 VIX Short-Term Futures Index, S&P 500 VIX 2-Month Futures Index, S&P 500 VIX 3-Month Futures Index, S&P 500 VIX 4-Month Futures Index, and S&P 500 VIX 6-Month Futures Index.
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23. General Disclaimer
This document does not constitute an offer of services in jurisdictions where Standard & Poor’s Financial Services LLC (“S&P”) or its affiliates do not have the necessary licenses. All information provided by S&P is impersonal and not tailored to the needs of any person, entity or group of persons.  S&P receives compensation in connection with licensing its indices to third parties.  Any returns or performance provided within are for illustrative purposes only and do not demonstrate actual performance.  Past performance is not a guarantee of future investment results.
It is not possible to invest directly in an index.  Exposure to an asset class represented by an index is available through investable instruments based on that index.  S&P and its affiliates do not sponsor, endorse, sell, promote or manage any investment fund or other vehicle that is offered by third parties and that seeks to provide an investment return based on the returns of any S&P index.  There is no assurance that investment products based on the index will accurately track index performance or provide positive investment returns.  S&P is not an investment advisor, and S&P and its affiliates make no representation regarding the advisability of investing in any such investment fund or other vehicle.  A decision to invest in any such investment fund or other vehicle should not be made in reliance on any of the statements set forth in this document.  Prospective investors are advised to make an investment in any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or other vehicle.  Inclusion of a security within an index is not a recommendation by S&P to buy, sell, or hold such security, nor is it considered to be investment advice.
The index returns shown do not represent the results of actual trading of investor assets.  Standard & Poor’s maintains the indices and calculates the index levels and performance shown or discussed, but does not manage actual assets.  Index returns do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent.  The imposition of theses fees and charges would cause actual and back-tested performance to be lower than the performance shown.  In a simple example, if an index returned 10% on a US $100,000 investment for a 12-month period (or US$ 10,000) and an actual asset-based fee of 1.5% were imposed at the end of the period on the investment plus accrued interest (or US$ 1,650), the net return would be 8.35% (or US$ 8,350) for the year.  Over 3 years, an annual 1.5% fee taken at year end with an assumed 10% return per year would result in a cumulative gross return of 33.10%, a total fee of US$ 5,375, and a cumulative net return of 27.2% (or US$ 27,200).
S&P does not guarantee the accuracy and/or completeness of any S&P index, any data included therein, or any data from which it is based, and Standard & Poor’s shall have no liability for any errors, omissions, or interruptions therein.  S&P makes no warranties, express or implied, as to results to be obtained from use of information provided by S&P, and S&P expressly disclaims all warranties of suitability with respect thereto.  While S&P has obtained information believed to be reliable, S&P shall not be liable for any claims or losses of any nature in connection with information contained in this document, including but not limited to, lost profits or punitive or consequential damages, even if it is advised of the possibility of same.
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