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Implied volatility
Hedge fund managers diversify to capture value from volatility
Hedge fund strategies to capture value from volatility are becoming more diversified as managers migrate from long volatility strategies to generate alpha from volatility in stock markets.
Hedge Funds Review | 06 May 2011
Hedge funds rediscover attraction of dispersion trade
Many dealers were badly hurt by short single-stock variance positions at end 2008. Despite this a number of banks reopened dispersion desks in 2010 to tap into renewed investor interest in the trade.
Hedge Funds Review | 04 Jan 2011
Option pricing and hedging in the presence of cross-hedge risk
Dynamic hedging as an option is a possibility when the underlying asset is not available for trading and some other asset or portfolio is used as a substitute, although this may not always happen.
Hedge Funds Review | 31 Oct 2010
Volatility adds interesting dynamic to portfolio investments
Volatility arbitrage funds should be able to profit through cycles. Most investors say it is about trading volatility as an asset class, directional or taking a relative value approach.
Hedge Funds Review | 09 Aug 2010
Bank of America Merrill Lynch offers tradable volatility index for tail risk hedging
Bank of America Merrill Lynch (BAML) has developed a liquid volatility index for institutions seeking a systematic tail risk hedge and aimed meeting institutional demand in the US.
Hedge Funds Review | 28 Jul 2010
Warning of ‘more prevalent’ systemic risk events
The culmination of the ‘debt super cycle’ has ushered in an era where systemic risk events will be “more prevalent, pronounced and severe” than at any point in the past 20 years, according to Ari......
Hedge Funds Review | 08 May 2010
Risk needs new clothes
It is not often the financial markets are compared to fairytales but that is how economist Roger Nightingale sees the way risk has been sold over the past few decades.
Hedge Funds Review | 10 Oct 2009
Index performance analysis gives strategy perspective
In a recent report (V Le Sourd, February 2009, Hedge Fund Performance in 2008, EDHEC Publication) an analysis of 12 years of data on EDHEC Alternative I for different hedge fund strategies provided some......
Hedge Funds Review | 01 May 2009
Viability in trading volatility assets
As an asset class volatility is maturing and institutional investors are more confident using it. Abhinandan Deb at Barclays Capital discusses the trend
Hedge Funds Review | 01 Aug 2008
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