{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2019:I4MAOPXRYLEVFIC3WQEHS5PDAR","short_pith_number":"pith:I4MAOPXR","schema_version":"1.0","canonical_sha256":"4718073ef1c2c952a05bb4087975e304696160f8fd675e5fca1c2cbd51bc67ff","source":{"kind":"arxiv","id":"1907.00293","version":1},"attestation_state":"computed","paper":{"title":"Tracking VIX with VIX Futures: Portfolio Construction and Performance","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PM","q-fin.ST"],"primary_cat":"q-fin.RM","authors_text":"Brian Ward, Tim Leung","submitted_at":"2019-06-29T23:11:24Z","abstract_excerpt":"We study a series of static and dynamic portfolios of VIX futures and their effectiveness to track the VIX index. We derive each portfolio using optimization methods, and evaluate its tracking performance from both empirical and theoretical perspectives. Among our results, we show that static portfolios of different VIX futures fail to track VIX closely. VIX futures simply do not react quickly enough to movements in the spot VIX. In a discrete-time model, we design and implement a dynamic trading strategy that adjusts daily to optimally track VIX. The model is calibrated to historical data and"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1907.00293","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2019-06-29T23:11:24Z","cross_cats_sorted":["q-fin.PM","q-fin.ST"],"title_canon_sha256":"4ca90c791dcd2f89ba9c719f8caa42d7a4fbc2abf3c8c5ff0366a97b1d0ace38","abstract_canon_sha256":"96fdee488f53be5379764916fa6cdf687f7d09289b2f15f22292010a10c34614"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-17T23:41:52.198769Z","signature_b64":"RSEp6NFJN9sKMAyv85a/C2qlaOXl8MydNjpPbVqkPyCOB55R7khJVCCIk+fhTO+nMyVEeP31udcQZDFR7eIYDQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"4718073ef1c2c952a05bb4087975e304696160f8fd675e5fca1c2cbd51bc67ff","last_reissued_at":"2026-05-17T23:41:52.198131Z","signature_status":"signed_v1","first_computed_at":"2026-05-17T23:41:52.198131Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Tracking VIX with VIX Futures: Portfolio Construction and Performance","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PM","q-fin.ST"],"primary_cat":"q-fin.RM","authors_text":"Brian Ward, Tim Leung","submitted_at":"2019-06-29T23:11:24Z","abstract_excerpt":"We study a series of static and dynamic portfolios of VIX futures and their effectiveness to track the VIX index. We derive each portfolio using optimization methods, and evaluate its tracking performance from both empirical and theoretical perspectives. Among our results, we show that static portfolios of different VIX futures fail to track VIX closely. VIX futures simply do not react quickly enough to movements in the spot VIX. In a discrete-time model, we design and implement a dynamic trading strategy that adjusts daily to optimally track VIX. The model is calibrated to historical data and"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1907.00293","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"1907.00293","created_at":"2026-05-17T23:41:52.198231+00:00"},{"alias_kind":"arxiv_version","alias_value":"1907.00293v1","created_at":"2026-05-17T23:41:52.198231+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1907.00293","created_at":"2026-05-17T23:41:52.198231+00:00"},{"alias_kind":"pith_short_12","alias_value":"I4MAOPXRYLEV","created_at":"2026-05-18T12:33:18.533446+00:00"},{"alias_kind":"pith_short_16","alias_value":"I4MAOPXRYLEVFIC3","created_at":"2026-05-18T12:33:18.533446+00:00"},{"alias_kind":"pith_short_8","alias_value":"I4MAOPXR","created_at":"2026-05-18T12:33:18.533446+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/I4MAOPXRYLEVFIC3WQEHS5PDAR","json":"https://pith.science/pith/I4MAOPXRYLEVFIC3WQEHS5PDAR.json","graph_json":"https://pith.science/api/pith-number/I4MAOPXRYLEVFIC3WQEHS5PDAR/graph.json","events_json":"https://pith.science/api/pith-number/I4MAOPXRYLEVFIC3WQEHS5PDAR/events.json","paper":"https://pith.science/paper/I4MAOPXR"},"agent_actions":{"view_html":"https://pith.science/pith/I4MAOPXRYLEVFIC3WQEHS5PDAR","download_json":"https://pith.science/pith/I4MAOPXRYLEVFIC3WQEHS5PDAR.json","view_paper":"https://pith.science/paper/I4MAOPXR","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1907.00293&json=true","fetch_graph":"https://pith.science/api/pith-number/I4MAOPXRYLEVFIC3WQEHS5PDAR/graph.json","fetch_events":"https://pith.science/api/pith-number/I4MAOPXRYLEVFIC3WQEHS5PDAR/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/I4MAOPXRYLEVFIC3WQEHS5PDAR/action/timestamp_anchor","attest_storage":"https://pith.science/pith/I4MAOPXRYLEVFIC3WQEHS5PDAR/action/storage_attestation","attest_author":"https://pith.science/pith/I4MAOPXRYLEVFIC3WQEHS5PDAR/action/author_attestation","sign_citation":"https://pith.science/pith/I4MAOPXRYLEVFIC3WQEHS5PDAR/action/citation_signature","submit_replication":"https://pith.science/pith/I4MAOPXRYLEVFIC3WQEHS5PDAR/action/replication_record"}},"created_at":"2026-05-17T23:41:52.198231+00:00","updated_at":"2026-05-17T23:41:52.198231+00:00"}