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Da Vinci Fund

Tuesday, March 20, 2007
The fund generates performance from volatility as an asset class.

A SQUARE :: 20Mar07 Da Vinci Fund
Category Volatility
Faculty Hendrik Klein
Expertise Volatiliy Trading
Author Sona Blessing
Faculty Name
The Da Vinci Fund platform includes volatility arbitrage in the form of sophisticated long/short gamma strategies, gamma scalping. It specialises in arbitrage strategies based on highly advanced computer programming techniques.

The fund targets market niche opportunities where inherent and momentary price inefficiencies exist. Their proprietary statistical models and automated trading robots monitor global markets and exploit situations where unexpected events push derivative prices unrealistically high or low.

Spread trading accounts for 70% of their trading strategy: ie. pairs trading, volatility spreads. There is an execution risk because differences occur but only in a very short time frame.

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