TY - JOUR T1 - A Portfolio of Stocks and Volatility JF - The Journal of Investing SP - 99 LP - 106 DO - 10.3905/joi.2006.635636 VL - 15 IS - 2 AU - Robert T. Daigler AU - Laura Rossi Y1 - 2006/05/31 UR - https://pm-research.com/content/15/2/99.abstract N2 - Purchasing volatility to add to a S&P 500 stock portfolio substantially reduces risk without having much effect on return. This article examines the risk and return properties of the VIX, S&P 500 stock portfolio, and a Markowitz combination of these assets, showing the risk-return benefits of including volatility as an asset. Since the daily correlation between the S&P and VIX assets ranges from –.45 to –.82, there are significant benefits to adding volatility to a portfolio of stocks. Purchasing volatility is now possible via exchange traded futures contracts or over-the-counter instruments.TOPICS: Performance measurement, volatility measures ER -