Wed, Jul 27, 2016
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. Opalesque Exclusive: California-based manager launches long/short equity hedge fund with unique algorithm[more]

    Benedicte Gravrand, Opalesque London for New Managers: SJL Capital LLC, an investment advisory firm based in California, has launched its maiden fund, the SJL MarketDNA Hedge Fund LP. The fund, which began trading

  2. Manny Roman to move from Man to Pimco[more]

    Benedicte Gravrand, Opalesque London: Emmanuel (Manny) Roman, an investment world veteran, has been hired by PIMCO, the large US bond fund house, as chief executive officer. PIMCO's current CEO Douglas Hodge will assume a new role as managing director and senior advisor when Roman joins P

  3. Europe - European hedge funds shrink and shutter as turmoil hurts returns, Investors go bargain-hunting for U.K. property after Brexit vote, Brexit: Guidance for fund directors - what to know and what to ask[more]

    European hedge funds shrink and shutter as turmoil hurts returns From Bloomberg.com: Europe’s hedge-fund industry contracted for a sixth straight quarter as the U.K.’s decision to leave the European Union and concerns that China’s growth is slowing caused losses and forced some money man

  4. Platinum Partners starts liquidation of hedge funds following municipal union kickback scandal[more]

    Komfie Manalo, Opalesque Asia: Platinum Partners, the hedge fund in the middle of a New York City municipal union kickback investigation, is reported to be liquidating two of its funds, the New

  5. SWFs - Abu Dhabi wealth fund says long-term investment gains fell[more]

    From Bloomberg.com: The Abu Dhabi Investment Authority, one of the world’s biggest sovereign wealth funds, said its long-term gains dropped in 2015. The fund’s 20-year annual rate of return slowed to 6.5 percent at the end of 2015, from 7.4 percent a year earlier, it said in its annual review. Over