New answers tagged vix
6
You could compare it, over the historical period of interest, to 1000 randomly generated VIX strategies which are:
Flat on 60 Percent of days (randomly chosen days)
Long VIX futures on 20% of days
Short VIX futures on 20% of days
(You would adjust these percentages to the characteristics of your strategy. I guessed these values from your comment).
The ...
5
If you are developing this strategy to use personally, I would benchmark it against your next best option.
If the strategy has been developed to attempt to manage other peoples money I would benchmark it against the HFRX RV: Volatility Index. This is an index of alternatives that a Vol investor would consider versus investing in your strategy.
From HFRX ...
9
If your strategy truly has no directional bias, then the benchmark should be cash (ie whatever you would earn using the capital in your trading account and taking no risk).
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