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Benedicte Gravrand, Opalesque Geneva:

Higher Moment Capital, a quantitative volatility specialist manager based in Cambridge, MA, has produced differentiated returns since 2009 and may be well positioned to benefit from a continued higher volatility environment. 

Its Higher Moment Capital Opportunities Fund (HMCO) seeks to exploit mispricing within and across asset classes. The fund has an aggressive risk profile and may take concentrated positions and use significant leverage. The strategy is focused on systematically exploiting mispricing in the S&P 500, Russell 2000 and VIX index options/futures market. The current firm’s AuM is $150m and HMCO’s AuM is $70m.

HMCO has returned 31.15% YTD (to end Sept. 2015) and has provided an annualized return of 29% since inception of December 2009 (compared to 12.4% for the S&P 500 and 0.45% for the HFRX Global Hedge Fund Index). Its only down year was in 2013.

It made +8.8% return in August, when the markets experienced a spike in volatility that drove the VIX above 40.

Volatility Higher volatility leads to more uncertainty and risk surrounding the price of a stock or option.

"The financial consequences of wider divergence among central bank policies - a stronger dollar, great volatility in stocks and larger yield differentials among U.S. and German benchmark government bonds - have been playing out over the last 10 days," wrote ......................

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