S&P Dow Jones launches S&P Emerging Markets Volatility Short-Term Futures Index

Jun 12th, 2013 | By | Category: Alternatives / Multi-Asset

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S&P Dow Jones has announced the launch of the S&P Emerging Markets Volatility Short-Term Futures Index.

S&P Dow Jones launches S&P Emerging Markets Volatility Short-Term Futures Index

Reid Steadman, Vice President at S&P Dow Jones Indices.

The index measures the return from a daily rolling long position in first and second month futures contracts on the CBOE Emerging Markets ETF Volatility Index, an index measuring the implied volatility of options on the iShares MSCI Emerging Markets Index ETF (EEM).

Part of the S&P VIX Futures Index Series, which includes the S&P 500 VIX Short-Term Futures Index, underlying to the $1.4bn iPath S&P 500 VIX Short-Term Futures ETN (VXX), the new index reflects demand from investors for a wider array of volatility-based tools to manage portfolio risks and exposures.

Until recently, most volatility indices were linked to developed market equities, the most famous, of course, being the CBOE Volatility Index (VIX) based on the S&P 500. Lately, however, index providers have extended the innovation to both new regions, such as emerging markets, and new asset classes, such as government bonds, rates and commodities.

Reid Steadman, Vice President at S&P Dow Jones Indices, said: “S&P Dow Jones Indices is launching this index in direct response to market demand for more volatility indices tracking more asset classes. We expect that the S&P Emerging Markets Volatility Short-Term Futures Index will become an important benchmark for investors seeking to measure the volatility of emerging markets.”

A total return version of the index is also calculated, which includes interest accrual on the notional value of the index based on the 3-month US Treasury rate and reinvestment into the index.

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