Merrill Lynch fervent on equity volatility
Merrill Lynch Global Research has launched the Merrill Lynch US Forward Equity Variance Rolling (FEVR) index, which measures the performance of a long S&P 500 volatility strategy. The index tracks volatility using a strategy designed to minimise the carry cost associated with owning volatility.
"Given the high negative correlation to equities, considering volatility as an asset class and integrating it into a portfolio could help to significantly reduce overall portfolio risk," said Heiko Ebens, head of Equity Derivatives Research at Merrill Lynch. "Moreover, volatility can provide equity investors with protection when they most need it, during periods when markets are declining sharply."
In March 2007, Merrill Lynch Research first introduced the forward equity variance rolling (FEVR)
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