(Bloomberg) -- Harvard University’s endowment sold its entire holding of an exchange-traded fund that bets on market calm prior to the security’s plunge on Feb. 5, the biggest stock rout in seven years.
Harvard Management Co. sold $11.3 million of ProShares Short VIX Short-Term Futures, better known by its ticker SVXY, in the fourth quarter, according to a regulatory filing Friday. The shares traded no lower than $93.06 during the three-month period. On Friday, they closed at $10.86.
A Harvard Management spokesman declined to comment. Harvard’s endowment is the largest in U.S. higher education at $37.1 billion.
Betting against volatility has long been a popular money-maker on Wall Street, as anticipated price swings typically exceed their realized movements.
The ProShares ETF benefits from declines in the front and second month futures contracts tied to the Cboe Volatility Index, which is a gauge of the market’s estimate of stock fluctuations over the next month.
The index had its biggest ever rally on Feb. 5, devastating investors who had piled into products that bet on enduring calm in the U.S. equities. The after-hours buying behavior of short-volatility funds and notes helped fuel a “vicious cycle” that contributed to this market turmoil.
SVXY plunged as much as 91 percent in extended trading Monday as its assets shrank to $72 million from $1.4 billion.
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