Tag Archives: tail hedging
Tail Hedging a High Yield Bond Portfolio With VIX® Futures
In one of my previous blog posts, we demonstrated that high yield bonds exhibited a strong negative correlation with VIX and an even stronger one with VIX futures, which comes mostly from down markets. This prompted us to think that VIX futures may hold tail-risk hedging opportunities for high yield bond portfolios. In this blog,…
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