Thu, Dec 8, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Many CTAs have become more short-volatility in the last five years

Friday, August 01, 2014

Benedicte Gravrand, Opalesque Geneva:

Quantitative easing has reduced and then suppressed volatility for the last five years. So analysts at R.G. Niederhoffer Capital Management recently examined if there had been a tendency for CTAs and hedge funds to adjust their styles to become more 'short- volatility' (or more 'risk-on' or 'long-equity') in recent years.

"Volatility, both implied and realized is at near-record lows across multiple market sectors," they note in the firm's Q2 investor letter. "For example, the VIX index of equity implied volatility has declined to levels not seen since February 2007. Looking at realized volatility, the S&P reached its lowest level of movement since 1995 just a couple of weeks ago, and elsewhere many other sectors are far below average." However, the report adds, this is finally coming to an end.

The VIX went down by 46% in the last five years (-6% YTD), and is now priced at 13.33. In January 2007, it was 10.42. The index, also know as the market’s "fear gauge," spiked by 32% on Thursday 17th July and fell the next day, coinciding with bad news from Ukraine and the Middle-East.

Realized volatility is also known as historic volatility and is the actual variance in the price of an option over time. Implied volatility is th......................

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. M&A - AllianzGI to acquire Sound Harbor Partners, SS&C completes acquisition of Wells Fargo's Global Fund Services business[more]

    AllianzGI to acquire Sound Harbor Partners Allianz Global Investors (AllianzGI), an active investment manager, announced that Sound Harbor Partners, a US private credit manager led by Michael Zupon and Dean Criares, have agreed to join its fast-growing Private Debt Platform. Under the te

  2. Hunt for yield pushes more investors into riskier assets[more]

    From FT.com: Pension funds and insurance companies have increasingly embraced riskier assets in their hunt for higher returns over the past five years. Alternative assets such as property, infrastructure, private equity and hedge funds have been bought up by institutional investors in a world where

  3. People - Nectar Financial hires senior investment team, Texas A&M replaces retiring foundation investment chief, Ex-Cadwalader partner Woolery makes another sudden exit, How to become a Python coder at a top hedge fund, by the co-CTO of Man AHL[more]

    Nectar Financial hires senior investment team Nectar Financial AG, a Swiss financial technology company for wealth and asset management, has announced that it has hired two key senior leaders to spearhead its digital asset management efforts. The company also announced that it has entere

  4. Activist News - Cognizant has introductory discussion with activist investor Elliott; to review letter, Starboard Value makes huge investment in Hewlett Packard, Hedge fund calls for removal of First NBC Bank CEO[more]

    Cognizant has introductory discussion with activist investor Elliott; to review letter From Indiatimes.com: Cognizant said it had an introductory discussion with Elliott Management after receiving the activist hedge fund's letter asking for a board shakeup, a buyback, a dividend and chan

  5. Opalesque Exclusive: Ireland relaxes treatment of direct lending funds[more]

    Bailey McCann, Opalesque New York: The Irish Central Bank has relaxed its treatment of direct lending funds, according to a recently released