FINalternatives reports that recent large trades in crude may be linked to liquidation of Blueshift Energy Fund. New-York based fund had a strong start, returning 15% in its first 7 months of trading in 2013, and 9% in 2014. According to most recent fund data, the fund was managing $170M but had a difficult year, losing 8% in March, and being down more than 9% this year.
FINalternatives article. Fiscal times article
Blackheath Volatility Arbitrage Strategy is also apparently closing out - the fund information was removed from website leaving other two funds. Funds performance has been rocky - it lost 4% in 2013, 5% in 2014, and is down 23% for 2015.
True Partner Capital is expanding, and planing to open US office in Chicago. Hong-Kong based volatility fund profited from the turbulent markets 2 months, up 15% on the year according to recent bloomberg article. The fund was recently a winner of AsiaHedge 2015 award in the market neutral and arbitrage fund category.
Oct 31, 2015
Oct 23, 2015
MLKJ Day
Few months ago I posed a quick note on date count as it relates to MLKJ day. Recently I received an email from Luigi Ballabio that correction has been accepted and will become part of Quantlib 1.7. Thanks to John Orford for the suggestion!
Oct 13, 2015
Volatility and the Allegory of the Prisoner's Dilemma
While I try to focus on original research on this blog, I cannot pass up opportunity to share this new research piece from Chris Cole of Artemis Capital - Volatility and the Allegory of the Prisoner's Dilemma. It is, as always, excellent.
Aug 30, 2015
Global Sigma Group, St Crispin's Day Speech
Global Sigma Group, a volatility fund with almost 6 years track record in S&P options is preparing a new offering called BondVol, with focus on Treasuries vol. New information, although quite sparse, is available on their website, as well as this SEC filing. One interesting point is -86% correlation between Sigma Plus and BondVol funds, but I believe this to be a statistical fluke - knowing the factor drivers of such strategies I believe that long-term correlation will be positive, and significant, probably at +50%.
The (unconfirmed) rumor is that the flagship Global Sigma Plus Program is suffering their largest drawdown to date, although my understanding is that it is significant, but within reason. I know a many people in volatility space, and August has been difficult for many, and everyone knows that they can't all be winners. So, fellow traders - hedge your deltas, and good luck in September. Remember, you may have lost money, but not ability to make money.
The (unconfirmed) rumor is that the flagship Global Sigma Plus Program is suffering their largest drawdown to date, although my understanding is that it is significant, but within reason. I know a many people in volatility space, and August has been difficult for many, and everyone knows that they can't all be winners. So, fellow traders - hedge your deltas, and good luck in September. Remember, you may have lost money, but not ability to make money.
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