TY - JOUR T1 - Can Investing in Volatility Help Meet Your Portfolio Objectives? JF - The Journal of Portfolio Management SP - 82 LP - 98 DO - 10.3905/jpm.2012.38.2.082 VL - 38 IS - 2 AU - Geoffrey J. Warren Y1 - 2012/01/31 UR - https://pm-research.com/content/38/2/82.abstract N2 - Warren evaluates investing in volatility products under a range of investor objectives, including risk and return at the total portfolio level, benchmark-relative performance, and liability-aware investing. He shows that the potential role for volatility exposure depends on investor circumstances. Long positions in forward variance swaps or longer-dated VIX futures can be effective for hedging equity-related risk within balanced portfolios, but do so at the cost of exacerbating benchmark-relative risk and may be of limited benefit in certain liability-aware situations. Investors best placed to capture the volatility risk premium through shorting volatility include those with higher tolerance for total portfolio and benchmark-relative risk, longer investment horizons, or interest rate–sensitive liabilities.TOPICS: VAR and use of alternative risk measures of trading risk, interest-rate and currency swaps, equity portfolio management ER -