Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • CAIA Member Login
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Alternative Investments
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Alternative Investments

The Journal of Alternative Investments

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • CAIA Member Login
  • LinkedIn
  • Twitter
Article

Volatility Exchange-Traded Notes:
Curse or Cure?

Carol Alexander and Dimitris Korovilas
The Journal of Alternative Investments Fall 2013, 16 (2) 52-70; DOI: https://doi.org/10.3905/jai.2013.16.2.052
Carol Alexander
is professor of finance and head of business and management at the University of Sussex in Brighton, UK.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: c.alexander@sussex.ac.uk
Dimitris Korovilas
is an associate with Citi in London, UK.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: dimitris.korovilas@citi.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

This is the first comprehensive study of VIX futures ETNs. This empirical research into their statistical characteristics motivates the development of a sub-class of these notes based on static and dynamic differential roll-yield trades. Results show that such notes provide very attractive risk and return characteristics, plus a new source of diversification for non-speculative investors. Moreover, scenario analysis demonstrates that banks may control ETN issues so that profits are virtually guaranteed net of hedging costs. However, there is a dark side to ETNs currently in issue, which stems from a few sub-optimal terms and conditions concerning early redemption values. These conditions underpin: i) the speculative front-running of hedging activity, which has very negative consequences for issuers; ii) a moral hazard problem, which is induced by the one-day notice period for early redemption, and iii) large-scale spill-over activity to VIX futures trading, which is a potential new source of systemic risk.

  • © 2013 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Alternative Investments: 16 (2)
The Journal of Alternative Investments
Vol. 16, Issue 2
Fall 2013
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Alternative Investments.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Volatility Exchange-Traded Notes: Curse or Cure?
(Your Name) has sent you a message from The Journal of Alternative Investments
(Your Name) thought you would like to see the The Journal of Alternative Investments web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Volatility Exchange-Traded Notes:
Curse or Cure?
Carol Alexander, Dimitris Korovilas
The Journal of Alternative Investments Sep 2013, 16 (2) 52-70; DOI: 10.3905/jai.2013.16.2.052

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Volatility Exchange-Traded Notes:
Curse or Cure?
Carol Alexander, Dimitris Korovilas
The Journal of Alternative Investments Sep 2013, 16 (2) 52-70; DOI: 10.3905/jai.2013.16.2.052
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • MARKET DESCRIPTION
    • INDICATIVE VALUES, ROLL COST, AND CONVEXITY
    • ROLL-YIELD ARBITRAGE EXCHANGE-TRADED NOTES
    • HEDGING ETNS: CONCERNS FOR ISSUERS AND REGULATORS
    • POTENTIAL CONCERNS FOR REGULATORS
    • SUMMARY AND CONCLUSIONS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets
  • Google Scholar

More in this TOC Section

  • Editor’s Letter
  • Practical Applications of A Performance Update—Hedge Funds versus Hedged Mutual Funds: An Examination of Equity Long—Short Funds
  • Practical Applications of Cryptocurrencies as an Asset Class? An Empirical Assessment
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 13 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1520-3255 | E-ISSN: 2168-8435

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies