Thu, May 5, 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. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n

  2. Opalesque Exclusive: Hedge fund talent, fees take a hit at the Milken Global Conference[more]

    Bailey McCann, Opalesque New York: It's been a rough year for hedge funds and now, even other managers are panning them. "Frankly, I’m blown away by the lack of talent," was Point 72 CEO Steven Cohen's assessment of trying to find candidates to hire in the investment business at a panel o

  3. Hedge funds fell in April as alternative UCITS surge in Europe[more]

    Komfie Manalo, Opalesque Asia: Hedge funds shed more in April with the Lyxor Hedge Fund Index down 0.9% during the month (-2.8% YTD), but there was some good news with alternative UCITS showing strong inflows in Europe. In its Weekly Briefing, Lyxo

  4. Global hedge funds recover in April on resurging energy commodities[more]

    Komfie Manalo, Opalesque Asia: Global hedge funds recovered in April with the HFRX Global Hedge Fund Index gaining +0.41% last month (-1.47% YTD), while the HFRX Market Directional Index gained +5.31% during the same

  5. AIG lost $349m in hedge fund portfolio in Q1[more]

    Komfie Manalo, Opalesque Asia: Large US insurance group AIG lost a net $183m for the first quarter 2016, year-on-year. The group blames the loss on the impact of market volatility on investments, as well as net realised capital losses and restructuring costs. Its hedge fund portfolio made a n