Wed, Oct 1, 2014
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. Socially responsible investments grow in demand, but performance questions persist[more]

    Komfie Manalo, Opalesque Asia: A study by financial services firm TIAA-CREF showed that interest in socially responsible investing (SRI) is increasing rapidly, but investors are still asking if investing in an SRI strategy

  2. Regulatory - Ireland launches structure for passporting loan origination funds within EU[more]

    From Asiaasset.com: The Irish Funds Industry Association (IFIA) has introduced new loan origination capabilities that will offer Asian managers and investors a new structure under the European Union’s (EU’s) Alternative Investment Fund Managers Directive (AIFMD). The new structure will allow the mar

  3. Europe - Ed Miliband's war on hedge funds could damage City of London[more]

    From Telegraph.co.uk: Ed Miliband’s plans to wage war on hedge funds could be potentially more damaging to the City of London than even the financial transaction tax (FTT), senior banking sources warned on Tuesday night. The Leader of the Opposition took aim at a number of industries as part of his

  4. News Briefs - SEC probes Pimco ETF over pricing irregularities, BEPs: Action plan released and UK first to adopt country-by-country reporting[more]

    SEC probes Pimco ETF over pricing irregularities The Securities and Exchange Commission is investigating Pimco’s pricing of exchange traded funds, the latest cloud to hang over the world’s largest bond manager, which has been dogged by poor performance and management infighting. Pimco on

  5. CalPERS’ move might alter hedge fund fees for good[more]

    Benedicte Gravrand, Opalesque Geneva: When CalPERS, the California Public Employees’ Retirement System, announced on September 15th that it was unwinding its hedge-fund portfolio, it was seen by many as is a significant blow to the sector’s appeal. The Fund is