Schaeffers Research tiene un post donde analiza un trabajo de Morningstar donde compara dos portfolios uno con equity y cash y otro que tiene esos componentes más derivados del VIX. Para concluir con:
Well, that’s a downer. I think the point would be not to leverage, and accept the lower return/lower risk. Or, simply allocate less to volatility.
But truthfully, it’s more about the concepts here than actually replicating this portfolio. Remember — it’s all simulated to begin with. We only know how these actual volatility derivatives behaved in the last five years; the simulations have their own margins of error.
Basically, this all tells me that properly allocated and relatively frequently hedged VXZ provides a decent portfolio hedge over time.