S&P Dow Jones Indices has launched the S&P Emerging Markets Volatility Short-Term Futures Index.
The index, part of the S&P VIX Futures Index Series, measures the return from a daily rolling long position in the first and second month CBOE Emerging Markets ETF Volatility Index (VXEEM) futures contracts.
The S&P Emerging Markets Volatility Short-Term Futures Index rolls continuously throughout each month from the first month VXEEM futures contract into the second month VXEEM futures contract.
A total return version of the S&P Emerging Markets Volatility Short-Term Futures Index is also calculated, which includes interest accrual on the notional value of the index based on the three-month US Treasury rate and reinvestment into the Index.
“S&P Dow Jones Indices is launching this index in direct response to market demand for more volatility indices tracking more asset classes,” says Reid Steadman, vice president at S&P Dow Jones Indices. “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.”
The S&P VIX Futures Index Series seeks to model the outcome of holding long and/or short positions in CBOE Volatility Index (VIX) futures contracts or other volatility indices. Historically, the VIX Index has a negative correlation to the S&P 500. While the spot VIX is difficult to replicate as a practical matter, there is a market in VIX futures and options.