Sharpe Innovation Awards to ETF and Index That Use VIX Futures

On December 9th the annual William F. Sharpe Indexing Achievement Awards were presented at the 18th Annual IMN Global Indexing and ETF’s Conference in Scottsdale, Arizona.

Here are the first two awards that were presented —

(1)  Indexing Innovation of the Year — S&P 500 Dynamic VEQTOR Index, which dynamically allocates long-only exposure between the S&P 500, the S&P VIX® Short-Term Futures Index (which takes long positions in near-term futures on the CBOE Volatility Index® (VIX®)), and cash.

(2)  ETF Innovation of the Year — PowerShares S&P 500 Downside Hedged Portfolio (PHDG), which is designed to provide investors with broad equity market exposure with an implied volatility hedge by dynamically allocating long-only exposure between the S&P 500, the S&P VIX® Short-Term Futures Index, and cash. The ETF seeks returns that correspond with the S&P 500 Dynamic VEQTOR Index.


At the Global Indexing Conference this week, I participated on a panel in which questions were raised as to whether VIX-based exchange-traded products (ETPs) have the potential to be strong buy-and-hold positions.  I noted that different ETPs that use VIX futures or options can have very different performance.  Various ETPs are designed to track all four of the indexes in the chart below.

The S&P 500 VIX Mid-term Futures Index measures the return of a daily rolling long position in the fourth, fifth, sixth and seventh month VIX futures contracts, and one could highlight the fact that the index rose 83% in 2008, but declined in recent years because the VIX has declined and it also experienced some challenges with contango (VIX futures priced higher than the spot price of VIX).

In the period from March 31, 2006 through Nov. 30, 2013, the S&P 500 Dynamic VEQTOR Index rose 174%, the S&P 500® Index rose 64%, and the S&P GSCI Index fell 28%.

mm 12 11


The other 2013 award winners were —

(3)  Indexing Product of the Year — MSCI Frontier Markets 100 Index.

(4)  ETF Product of the Year — PowerShares Senior Loan Portfolio (BKLN)

(5)  The Journal of Index Investing Paper of the Year — A Framework for Examining Asset Allocation Alpha, Spring 2013, by Jason C. Hsu and Omid Shakernia

(6)  Institutional Investor Journals Paper of the Year — Low – (Economic) Volatility Investing, The Journal of Wealth Management, Winter 2012 by J. Chong and G.M. Phillips

(7)  Lifetime Achievement Award – Robert Arnott, Chairman and Founder, Research Affiliates, LLC


Below is a sampling of some (not all) of the past indexing award winners since their inception in 2004.

Most Innovative Index

2004 — CBOE S&P 500 BuyWrite Index (BXM)

2005 — FTSE/RAFI Fundamental Index Series

2006 — Standard and Poor’s Case-Shiller House Prices Indices

2007 — CBOE S&P 500 PutWrite Index (PUT)

Most Innovative Index Product

2004 — CBOE Volatility Index (VIX) Futures

2005 — Options on Vanguard VIPERS at the CBOE

2006 — Chicago Board Options Exchange Options on the CBOE Volatility Index (VIX)

2007 — iPath ETNs

Lifetime Achievement Award

Tim Harbert, William Sharpe, Nathan Most, Burton G. Malkiel, Ronald J. Ryan, John C. Bogle, Paul A. Samuelson, Patricia C. Dunn, William L. Fouse, John A. Prestbo, Leo Melamed, Joanne Hill, Joe Levin (CBOE), Kelly Haughton, William J. Brodsky (CBOE), Gus Sauter, Lee Kranefuss, and David Blitzer


CBOE and its partners have worked diligently to develop and offer award-winning innovative index products.

Congratulations to all the award winners.