Sun, Mar 26, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Volatility Indicators Part One - the worst performance for hedge funds may be past

Thursday, March 26, 2009

From Kirsten Bischoff, Opalesque New York:

The close of March marks the end of the first quarter and possibly another large redemption date for hedge funds. However, there are many investors maintaining their allocations in the industry, and they have given managers a clear indication of their mandate: preserve capital through the crisis and focus on risk adjusted return capital. For these investors there is the distinct possibility that with volatility normalizing in the markets it is possible that in this financial crisis, the worst performance for hedge funds is behind us.

The Chicago Board Options Exchange’s VIX measures the implied volatility of options based on the broad US equity market benchmark. While the VIX currently remains high (hovering around 40pts), even with large drops in the equity markets volatility, it has not returned to the levels it was at in October and November (when it spiked to 80+pts).

This fall the spike in the VIX occurred during the first 40% drop in equities, but the subsequent drops did not spark renewed panic in volatility. The markets had already begun to understand the change in the paradigm and were re-priced for a higher systemic level of volatility, preparing them for the bigger drops, which occurred after October and November.

“I do not believe we can spike up to the highs we saw in October and November because the surprise is no longer there for......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Hedge fund liquidations in 2016 surpass 2009 levels, new launches decline[more]

    Benedicte Gravrand, Opalesque Geneva: Even as the hedge fund industry's total assets exceeded the $3tln milestone last year, hedge fund liquidations increased. So much so that 2016 had the highest number of liquidations since 2008, claims the latest HFR Market Microstructure Report, re

  2. Hedge funds find no joy in macro as returns lag Trump rally[more]

    From Gulfnews.com: In 2017, macro hedge funds were expected to shine. So far? Not so much. It's been a far from impressive first two months for funds that trade around macroeconomic events. Discretionary funds rose just 0.3 per cent through February, according to Hedge Fund Research Inc., while the

  3. Strategies - Billionaire investor Marc Lasry shares how he's playing markets right now, Classic models are failing FX hedge funds desperate for return[more]

    Billionaire investor Marc Lasry shares how he's playing markets right now From CNBC.com: Buy on the prospect of deregulation. Sell on the enactment of deregulation. That's the strategy that billionaire investor Marc Lasry is implementing, according to an interview with CNBC in Las Vegas

  4. Opalesque Exclusive: Aberdeen makes the case for the lower mid-market[more]

    Bailey McCann, Opalesque New York: Aberdeen Asset Management has released a new paper focused on lower mid-market private equity. According to the paper, this segment of the private equity market is gaining popularity with private equity investors that are looking for multiple expansion and less

  5. Hedge funds await outcome of French elections, feel pinch on lower oil prices & weak dollar[more]

    Komfie Manalo, Opalesque Asia: Hedge funds felt the pinch of lower oil prices and weak U.S. dollar as the Lyxor Hedge Fund Index was marginally down as of the week ending 14 March, Lyxor Asset Management said in its Weekly Briefing. The Lyxor He