PDF MAR 2018 February 2018 Case Study: ETF Trading in a High ...

during the depths of the financial crisis or in the aftermath of the Brexit referendum (Source: BlackRock, Thomson Reuters). Performance of Inverse Volatility ETPs After the closing bell on February 5, 2018, a subset of ETPs that provide a return that is opposite (or inverse) VIX levels by shorting VIX futures suffered declines in excess of 90% ................
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