This comprehensive solution pairs a 15% allocation to a systematic volatility-based hedge with an 85% allocation to the S&P 500® Index. The volatility component adjusts its exposure each day based on the daily moves in short term VIX futures.
Maintaining a constant long volatility hedge in a portfolio can be expensive. By dynamically shifting between long and short exposure to VIX futures, Janus’ volatility strategy seeks to capitalize on the negative correlation of VIX futures via a transparent, liquid and low-cost volatility hedge.
With the potential to significantly reduce drawdown risk in the worst markets, TRSK can be considered a liquid alternative in a well-diversified portfolio.