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1、VolatilityproductsTradingvolatilityasanassetclassitselfModernPortfolioTheory(source:Wikipedia)-MPTisamathematicalformulationoftheconceptofdiversificationininvesting,withtheaimofselectingacollectionofassetsthathascollectivelylowerriskthananyindividualasset
2、.Thisispossible,intheory,becausedifferenttypesofassetsoftenchangeinvalueinoppositeways-OneofmaintheassumptionsofMPTisthatcorrelationsbetweenassetsarefixedandconstantovertime=>It’sallaboutCorrelation!11©TruePartnerEducationLtd2012VolatilityasanAssetClassMa
3、inequityindicesoverthepast5yearsEquities:correlationover0.90120%110%100%90%80%USGlobal70%EuroZone60%50%40%30%1/4/20071/4/20081/4/20091/4/20101/4/20111/4/20122©TruePartnerEducationLtd2012VolatilityasanAssetClassMajorAssetClassesoverthepast5yearsMajorAssetC
4、lasses:correlationof0.60170%150%130%Commodities110%Em.Mkt.Equities90%USequities70%CorporateBondsChinchillaBreeding50%30%3©TruePartnerEducationLtd2012VolatilityasanAssetClassVolatilitydoesexhibitsignificantnegativecorrelationS&P500vsVIX:correlationof-0.701
5、8009016008014007012006010005080040S&P50060030VIX400202001000FromAugust1st2011tocurrent,thecorrelationhasbeenbelow-0.904©TruePartnerEducationLtd2012VolatilityasanAssetClassSowehavefoundaproductthathasdifferentcharacteristics:•Volatilityriseswhenuncertainty
6、increases•Volatilitytendstobemean-reverting•Volatility‘explodes’intimesofextremecrisisHowto‘own’volatility?5©TruePartnerEducationLtd2012Volatility(index)Products•VolatilityIndicesandrelatedproducts-VIX(S&P500)-Europeanvolatilityfutures(VDAX,VSTX)-Asianvol
7、atilityfutures(Vnikkei,VHSI)-Structurednotes(VXX‘longVIX’,XIV‘shortVIX’)•VarianceSwaps•Portfolio’sofListedOptions-Directionalbetsorinsurance-VolatilityArbitrage6©TruePartnerEducationLtd2012EuroStoxxanditsvolatility:5eventfulyears…5,000100.004,50090.004,00
8、080.003,50070.003,00060.002,50050.00EurostoxxVstoxx2,00040.001,50030.001,00020.0050010.00--1/2/20081/2/20091/2/20101/2/20111/2/2012Theinverserelationshipisclearlyvisible;whiletheoverallperiodcorrelationislimited(-0.
