UVXY as a hedge option

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    Given that treasuries don’t have a lot of headroom, I have modified the levered hedge to UBT/UGL/UVXY. UVXY seems to be very suited for this role, as it is not a flight to safety item like TLT, but it shows volatility of people fleeing. Have you LI guys looked at something like this in hedging?

    Alexander Horn

    UVXY is linked to the 1.5 x S&P 500 VIX Short-Term Futures Index, so like being long VIX 1-3 mo futures.

    That will work well in troubled times when VIX spikes, but on a long run it permanently loses value due to the Contango in the VIX futures curve. See: https://finance.yahoo.com/chart/UVXY

    If you set it up as a permanent mix-in with a fixed % it may work well as a hedge, but eat some of the expected returns.


    Alexander, thanks. If you don’t mind, would you compare VXX with UVXY as far as a better hedge.

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