VIX Futures Return Decomposition
Authors
Published Date
Publisher
Abstract
VIX futures contracts have produced negative returns. I develop a method to decompose the daily returns of VIX futures contracts in to the return components of roll down and level. I show that roll down is the largest contributor to the negative returns. The return decomposition analysis is carried out across the VIX futures term structure which includes the one- to six-month VIX futures contracts. I use time series regressions to estimate the beta coefficients of the return components relative to the VIX. The results of the regression analyses are used to create a VIX curve strategy that is combined with the S&P 500 Index.
Description
University of Minnesota M.S. thesis. June 2019. Major: Applied Economics. Advisor: Glenn Pederson. 1 computer file (PDF); iv, 76 pages.
Related to
item.page.replaces
License
Series/Report Number
Funding Information
item.page.isbn
DOI identifier
Previously Published Citation
Other identifiers
Suggested Citation
Ruetz , Michael. (2019). VIX Futures Return Decomposition. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/206143.
Content distributed via the University Digital Conservancy may be subject to additional license and use restrictions applied by the depositor. By using these files, users agree to the Terms of Use. Materials in the UDC may contain content that is disturbing and/or harmful. For more information, please see our statement on harmful content in digital repositories.