Summary

The goal of the VIX Portfolio Hedging (VXH) program is to offer protection to equity and equity index investors against sudden and severe market shocks by investing in short-term futures contracts on the CBOE Volatility Index (VIX). The VIX index is a widely-followed measurement of the short-term implied volatility in S&P 500 option prices. Few asset classes exhibited a low or negative correlation to equities during the financial crisis of 2007-2008; volatility was an exception. The VXH program is designed to provide access to long volatility assets as a means of hedging existing equity exposure.