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Table 1.

Descriptive statistics of VIX CMFs.

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Table 2.

Correlations of VIX CMFs.

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Table 3.

Simple feature sets.

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Table 4.

Term structure feature sets.

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Table 5.

Statistically derived feature sets.

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Table 6.

Results summary.

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Table 7.

Feature set performance.

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Fig 1.

IC in all models.

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Table 8.

Predictive performance.

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Table 9.

Backtesting performance.

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Fig 2.

Models’ net values with term structure feature sets using the C-MVO strategy.

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Table 10.

Models predictive performances.

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Table 11.

Models backtesting performances.

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