Thu, Nov 26, 2015
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. Other Voices: Hedge fund marketing and the selling cycle[more]

    By Bruce Frumerman. How long is the selling cycle now? That’s a question my financial communications and sales marketing consulting firm has been asked on a regular basis by hedge fund firm owners and sales people, ever since we opened the doors to our firm in 1987 pre-crash. Wa

  2. Investing - BlackRock targets ETF investors with flexible currency hedging, Nelson Peltz bets on General Electric Company and Mondelez International, Apple plummets to 4th place among hedge holdings, from No. 1, Top Q3 equity purchases and sales of top 50 hedge funds[more]

    BlackRock targets ETF investors with flexible currency hedging From BlackRock Inc., the world’s largest asset manager, is changing course on exchange-traded funds that protect against currency volatility. After stressing the easy switch between hedged and unhedged ET

  3. BlackRock is shutting down its Global Ascent macro fund[more]

    Komfie Manalo, Opalesque Asia: BlackRock, the world’s largest asset manager, has announced plans to shut down a macro fund, Global Ascent Fund, because of "headwinds facing the industry". The hedge fund, which makes bets on stock, bond and currency markets, will return money to investors. Ac

  4. Opalesque Roundtable: Seeding deal terms can be onerous for hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Executives from fund of funds firms, family offices, a placement agent, a private equity firm, and an accounting firm gathered in Connecticut last month for the

  5. Opalesque Roundtable: Family offices flock to co-investment[more]

    Bailey McCann, Opalesque New York: Co-investments have been a hot topic for pension funds in recent years, as they try to move away from high fees and improve transparency. But now, family offices are more readily getting into the mix and establishing in-house deal teams, according to the delega