Statistical Arbitrage. 0% RETURN 0% RISK $0 MINIMUM EXECUTIVE SUMMARY. Constituents are selected based on their volatility and are then weighted by their corresponding volatility. Return/Risk Rating. Sinia, who runs volatility based arbitrage strategies at Mint Tower, will be joined on the panel at AIF 2020 by Theodoros Tsagaris, CIO of Bayforest Technologies and Iuliia Shpak, Systematic Strategies Specialist, Sarasin Quant Solutions. The fund’s core investment strategies include, but are not limited to, relative value volatility trades, directional volatility strategies, dispersion trades, and convertible bond arbitrage. As with any arbitrage strat- egy that gains in popularity, increase in arbitrageurs may tighten the spreads between implied and realised volatilities in the future. Chasing returns: Many investors are using the arbitrage funds to stagger investments into equity funds. Data from February 1990 to June 2008. arbitrage indices, such as the S&P 500 Volatility Arbitrage Index, have shown consistent positive performance and low volatility. Following a marginal downgrade to Capital Structure / Volatility Arbitrage for Q1 2021, we are restoring our previous positive view based on the flood of convertible bond new issuance and more attractive valuations. Volatility arbitrage strategy. Volatility Arbitrage (“Vol Arb”) covers a wide range of fund strategies; they may be opportunistic, biased long, short, neutral to volatility and/or to the underlying market. Kris Sidial is the co-chief investment officer at The Ambrus Group, a volatility arbitrage-focused hedge fund founded in 2018. The moderator is Mike Marcey, Managing Director, Efficient Capital Management. ... Sell into volatility spikes to profit from short term moves. The S&P 500® Volatility – Highest Quintile Index is designed to measure performance of the 100 most-volatile stocks in the S&P 500. ASSETS UNDER MANAGEMENT TRACK RECORD LENGTH SHARPE RATIO. In finance, volatility arbitrage (or vol arb) is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlying.The objective is to take advantage of differences between the implied volatility of the option, and a forecast of future realized volatility of the option's underlying. The aim will be to control the volatility of these returns by the use of hedging instruments and/or techniques and the active management of risk. The basic principles of convertible bond arbitrage have been clear at least since Thorp and Kassouf (1967).For those who are not familiar, the arbitrage entails purchasing a convertible bond and selling short the underlying stock, creating a delta neutral hedge long volatility position. Systematic Volatility Arbitrage + + QEP. Volatility arbitrage is a trading strategy that attempts to profit from the difference between the forecasted future price-volatility of an asset. Track ... Past Performance is Not Necessarily Indicative of Future Results. As a result, March performance was very mixed – the top to bottom Positions include both puts and calls, initiated to maximize gamma per unit of theta. Rich investors have added ₹10,000 crore into arbitrage funds in March and April as they expect volatility in the markets due to state lockdowns and corporate earnings to … Assets Under Management. more. Author rvarb Posted on April 29, 2018 Categories statistical arbitrage, volatility arbitrage Leave a comment on VIX Mean Reversion After a Volatility Spike A Simple System For Hedging Long Portfolios In this post, we are going to examine a trading system with the goal of using it as a hedge for long equity exposure. Traded systematically, ... For Performance/Fact Sheet and presentation material, please contact us.