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Benedicte Gravrand, Opalesque Geneva.
Implied Capital's Volatility Risk Premium Fund (VRPF) launched its offshore version this month, which is domiciled in the Caymans.
The product, managed by Dr. James Doran, went live via managed accounts at the end of 2007. In 2008 it returned +42%, +27% in 2009, +26% in 2010, and +5.44% YTD to April 2011.
Dr. James Doran, the portfolio manager, is a Bank of America Professor of Finance at Florida State University and is one of the foremost researchers in options pricing and volatility as an asset class. He founded his Colorado-based firm, Implied Capital, in 2007 and began trading the Volatility Risk Premium strategy in November that year.
Last month, U.S. stocks continued higher with the S&P 500 gaining almost 3% on a total return basis, says VRPF’s monthly report. Implied volatility, as measured by the VIX (the CBOE Volatility Index, often called the Fear Index, which measures the implied volatility of S&P 500 call options), trended lower for most of the month reaching 14.62%, its lowest level in nearly four years.
The index went from 17.40% on 1st April to 14.75% on 29th April. That day, as the S&P broke out of the head and shoulders neckline at 1,340, the VIX closed at its lowest level in 46-months, confirmed Yahoo. In addition the VIX triggered a sell signal for stocks, the same ...................... To view our full article Click here
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