Wed, Jul 30, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
A SQUARE

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.

Download this research The many benefits of an A SQUARE subscription Recommend to a friend

<< A SQUARE archive sorted by date    << A SQUARE archive sorted by category

 Article link
More research related to Volatility

[13Nov08] [Commodity, Volatility] A fund that focuses on trading energy related commodity, equity futures
YTD return as of 31Oct. ’08 of +30.88%

Download

[28Oct08] [Volatility Trading] A smile volatility fund
Designed to offer portfolio protection in market environments such as these ...

Download

[12Mar08] [Volatility] Option Volatility Strategy
The strategy captures the excess premium between implied and realised volatility on the S&P 500 index using a butterfly unit

Download

[20Feb08] [Volatility] Benchmark index for the volatility trading space
Facilitate performance comparisons between volatility traders, and other alternative investment strategies

Download

[19Sep07] [Volatility] Solaris Opportunity Fund
Access to hedged option trades primarily using butterfly spreads and volatility spreads

Download

[05Sep07] [Volatility] "Volatility can make your P&L smile"
Most prudent traders will always be long “the wings” and long “teenies” which means having long positions in far out of the money options that are nearly worthless but can be become very valuable once markets start to become erratic.

Download

[20Jun07] [Volatility] Expertise on volatility
Mean reversion is driven by pain and pleasure rather than greed and fear

Download
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. Hedge fund manager Winton Capital making headway with long-only strategy[more]

    From PIonline.com: North American investors are helping Winton Capital Management Ltd. make progress — albeit slowly — toward its founder's goal of becoming a $100 billion company. The firm's ticket to quadrupling its assets under management is unlikely to be one of its scientifically designed manag

  2. Opalesque Roundtable: Success in hedge fund marketing not linked to performance, but investor appetite[more]

    Komfie Manalo, Opalesque Asia: Success in marketing a fund is not linked to the performance, but to investor appetite, to the way you can market the fund, and to how much time you can spend to raise assets, said Antoine Rolland, the CEO of incubator and seeding firm

  3. Opalesque Radio: Now is a good time to buy protection cheaply in the options market[more]

    Benedicte Gravrand, Opalesque Geneva: Investors are showing an increased interest in risk parity funds and strategies, Opalesque reported last year. Risk parity strategies have the

  4. The Big Picture: Charlemagne Capital smoothes risk out of frontier market investing with portfolio approach[more]

    Benedicte Gravrand, Opalesque Geneva: Opalesque recently talked to one of the portfolio managers of the Oaks funds, which are emerging and frontier market hedge funds focusing on equity long/short with a directional approach. They are run by

  5. Winton’s low-cost equities fund tops $1bn for first time[more]

    From FT.com: Winton, the London-based hedge fund, has increased the assets in its low-cost equities fund to more than $1bn for the first time in a sign that traditional stock managers may come under increasing pressure from computer-driven rivals. Winton, which manages about $25bn in total ass