RT Journal Article SR Electronic T1 Can Investing in Volatility Help Meet Your Portfolio Objectives? JF The Journal of Portfolio Management FD Institutional Investor Journals SP 82 OP 98 DO 10.3905/jpm.2012.38.2.082 VO 38 IS 2 A1 Geoffrey J. Warren YR 2012 UL https://pm-research.com/content/38/2/82.abstract AB 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