Volatility as an Asset Class: Holding VIX in a Portfolio Jared DeLisle Department of Finance, Insurance, and Real Estate Washington State University James S. Doran Gene Taylor/Bank of America Professor of Finance Department of Finance Florida State University Kevin Krieger Department of Finance Tulsa University March 3, 2010 Keywords: VIX index, S&P 500 Index, Portfolio Returns JEL Codes: G11, G12 Acknowledgements: The authors acknowledge the helpful comments and suggestions of George Aragon, Gurdip Bakshi, Michael Brennan, Jim Carson, Don Chance, Martijn Cremers, Sanjiv Das, Dave Humphrey, Ehud Ronn, Keith Vorkink, David Weinbaum, Xiaoyan Zhang, and participants at the Florida State University seminar. Communications Author: James S. Doran Address: Department of Finance College of Business Florida State University Tallahassee, FL. 32306 Tel.: (850) 644-7868 (Office) FAX: (850) 644-4225 (Office) E-mail: jsdoran@cob.fsu.edu