The ability to hedge market downturns without sacrificing upside returns has long been sought by investors. Using volatility to hedge equity returns provides a desired hedge because of its asymmetric response to price movements. If the VIX index were directly investable, adding VIX to an S&P 500 portfolio would result in significantly improved performance over the buy-and-hold index portfolio. Given the inability to directly trade VIX, however, we consider a number of positions which may be utilized to mimic VIX holdings. We find VIX futures and the VXX exchange-traded note (ETN) do not provide an effective hedge as they generate significant negative abnormal returns. VIX calls provide better protection than S&P 500 puts, but still result in underperformance. Alternatively, we deconstruct VIX to find the relevant S&P 500 options which drive VIX movement. A synthetic VIX portfolio is then formed using S&P 500 options and this position captures returns similar to the VIX index, resulting in outperformance of the buy and hold equity portfolio. However, unless VIX call options are added to the portfolio of S&P 500 options, making the portfolio still has exposure to extreme negative skewness.