Amazines Free Article Archive
www.amazines.com - Friday, May 24, 2019
Read about the most recent changes and happenings at Amazines.com
Log into your account or register as a new author. Start submitting your articles right now!
Search our database for articles.
Subscribe to receive articles emailed straight to your email account. You may choose multiple categories.
View our newest articles submitted by our authors.
View our most top rated articles rated by our visitors.
* Please note that this is NOT the ARTICLE manager
Add a new EZINE, or manage your EZINE submission.
Add fresh, free web content to your site such as newest articles, web tools, and quotes with a single piece of code!
Home What's New? Submit/Manage Articles Latest Posts Top Rated Article Search
Google
Subscriptions Manage Ezines
CATEGORIES
 Article Archive
 Advertising (133295)
 Advice (160816)
 Affiliate Programs (34734)
 Art and Culture (73674)
 Automotive (145642)
 Blogs (75018)
 Boating (9841)
 Books (17130)
 Buddhism (4124)
 Business (1328286)
 Business News (426309)
 Business Opportunities (366257)
 Camping (10952)
 Career (72762)
 Christianity (15839)
 Collecting (11636)
 Communication (115054)
 Computers (241947)
 Construction (38992)
 Consumer (49679)
 Cooking (17061)
 Copywriting (6567)
 Crafts (18204)
 Cuisine (7538)
 Current Affairs (20380)
 Dating (45774)
 EBooks (19685)
 E-Commerce (48193)
 Education (185180)
 Electronics (83491)
 Email (6389)
 Entertainment (159819)
 Environment (28933)
 Ezine (3038)
 Ezine Publishing (5443)
 Ezine Sites (1553)
 Family & Parenting (110897)
 Fashion & Cosmetics (196383)
 Female Entrepreneurs (11842)
 Feng Shui (130)
 Finance & Investment (310257)
 Fitness (105904)
 Food & Beverages (62849)
 Free Web Resources (7938)
 Gambling (30213)
 Gardening (25079)
 Government (10513)
 Health (629247)
 Hinduism (2206)
 Hobbies (44032)
 Home Business (91544)
 Home Improvement (251321)
 Home Repair (46116)
 Humor (4815)
 Import - Export (5449)
 Insurance (45118)
 Interior Design (29544)
 International Property (3485)
 Internet (190967)
 Internet Marketing (146303)
 Investment (22824)
 Islam (1168)
 Judaism (1357)
 Law (80457)
 Link Popularity (4592)
 Manufacturing (20838)
 Marketing (98757)
 MLM (14136)
 Motivation (18211)
 Music (26998)
 New to the Internet (9476)
 Non-Profit Organizations (4048)
 Online Shopping (129608)
 Organizing (7802)
 Party Ideas (11856)
 Pets (38081)
 Poetry (2234)
 Press Release (12670)
 Public Speaking (5620)
 Publishing (7522)
 Quotes (2407)
 Real Estate (126610)
 Recreation & Leisure (95247)
 Relationships (87449)
 Research (16157)
 Sales (80313)
 Science & Technology (110157)
 Search Engines (23445)
 Self Improvement (153090)
 Seniors (6229)
 Sexuality (35942)
 Small Business (49281)
 Software (82955)
 Spiritual (23461)
 Sports (116071)
 Tax (7658)
 Telecommuting (34064)
 Travel & Tourism (307161)
 UK Property Investment (3118)
 Video Games (13422)
 Web Traffic (11724)
 Website Design (56803)
 Website Promotion (36556)
 World News (1000+)
 Writing (35761)
Author Spotlight
ADRIAN JOELE

I have been involved in nutrition and weight management for over 12 years and I like to share my kn...more
ALFRED MEARS

Former English Teacher; Musician (20+ years); Freelance Writer ...more
AMIT TIWARI

Amit Tiwari is a Digital marketing expert with over 4 years of experience and a wide variety of know...more
ALEN OWEN

I am an essay writer with vast experience in data analysis, PowerPoint writing and research paper ed...more
MOBILE STYLES

Mobile Styles, the leading on-demand Beauty & Health app in the U.S. delivers talented professionals...more


Cheyne Fund - Ways that portfolio managers can invest in volatility by Charlotte Rivington





Article Author Biography
Cheyne Fund - Ways that portfolio managers can invest in volatility by
Article Posted: 11/16/2010
Article Views: 61
Articles Written: 209
Word Count: 627
Article Votes: 0
AddThis Social Bookmark Button

Cheyne Fund - Ways that portfolio managers can invest in volatility


 
Finance & Investment
Eroding fortunes But there are a number of costs for receiving this type of black swan insurance cover. VIX futures are usually in contango, so they suffer from value erosion over time. The performance of the VXX ETN, which is based on these futures, has been dismal for most of the period since its launch in early 2009 (see ‘Rolling 30-day Returns - VXX, VIX, S&P 500’ graph on page 52).

Much of the poor performance can be explained by the fact that the VIX has collapsed from the levels seen at the beginning of the year but, even compared with the VIX, VXX has significantly underperformed. It is important to note that volatility is mean reverting, so unlike most other asset classes, it does not produce a longterm return. Volatility can decline or remain at a low level for extended periods and by its nature is highly asymmetric, tending to quickly move higher over a short period and then gradually decrease over a longer period.

This makes markettiming the asset class particularly difficult and as the ‘Rolling 30-day return’ graph on page 52 shows, VXX has offered a positive return for only a short period of its admittedly short track record. For these reasons, direct investment in volatility is often seen as more of a risk control/portfolio diversification tool than a standalone source of alpha.

Just rewards

The high cost associated with receiving volatility protection naturally means there is an opportunity to generate a high returns by being a provider of such protection. By taking a short volatility position, an investor can capture the premium associated with holding volatility risk.

Given the large number of market participants wanting to hedge out tail risk by being long volatility, those who sell volatility insurance can demand a good price. This has enabled short volatility strategies to perform well for the majority of the past decade, but in 2008 they suffered catastrophic losses as the VIX reached a record high and liquidity in the variance swap market completely evaporated.

Alternative path

Beyond direct directional exposure to volatility markets, volatility trading hedge funds can offer investors an alternative route into the asset class. These funds will not necessarily be long volatility all of the time or even have a significant directional bias to volatility. Directional volatility plays involve market timing issues and often a relative value approach has the potential to offer superior performance. Some other Commodity trading advisors… thrive on volatility and perhaps offer the most attractive method to gaining long volatility exposure. [They] can also perform excellently in rising market environments “ ” hedge fund strategies, while not explicitly exposed to volatility are implicitly long volatility in that they often perform best when markets are volatile.

Feeding off volatility

Equity short-bias funds will provide excellent returns in market downturns, although by being short an asset that appreciates in value over the long term; the strategy is again more suited as a portfolio diversifier than a return enhancer. Commodity trading advisors (CTAs) are systematic trading strategies that thrive on volatility and perhaps offer the most attractive method to gaining long volatility exposure. CTAs can also perform excellently in rising market environments. The ‘Key black swan events’ table shows the performance of CTAs during the worst months for equity markets since 1987.

Long volatility trades have been an unattractive proposition since the VIX began its descent from its record high in late 2008, but with a highly uncertain recovery ahead and the VIX back below 20, there seems to be a renewed case for protecting against the return of fear.

Cheyne Fund specializes in credit market investments and has won or been nominated for numerous awards from 2003 until 2009, many for its long short credit funds.

Related Articles - cheyne hedge funds, cheyne capital, cheyne news,

Email this Article to a Friend!

Receive Articles like this one direct to your email box!
Subscribe for free today!

 Rate This Article  
Completely useless, should be removed from directory.
Minimal useful information.
Decent and informative.
Great article, very informative and helpful.
A 'Must Read'.

 

Do you Agree or Disagree? Have a Comment? POST IT!

 Reader Opinions 
Submit your comments and they will be posted here.
Make this comment or to the Author only:
Name:
Email:
*Your email will NOT be posted. This is for administrative purposes only.
Comments: *Your Comments WILL be posted to the AUTHOR ONLY if you select PRIVATE and to this PUBLIC PAGE if you select PUBLIC, so write accordingly.
 
Please enter the code in the image:



 Author Login 
LOGIN
Register for Author Account

 

Advertiser Login

 

ADVERTISE HERE NOW!
   Limited Time $60 Offer!
   90  Days-1.5 Million Views  

 

Great Paranormal Romance

World News


STEPHEN BYE

Steve Bye is currently a fiction writer, who published his first novel, ‘Looking Forward Through The...more
STEVERT MCKENZIE

Stevert Mckenzie, Travel Enthusiast. ...more
GENE MYERS

Author of four books and two screenplays; frequent magazine contributor. I have four other books "in...more
SUSAN FRIESEN

Susan Friesen, founder of the award-winning web development and digital marketing firm eVision Media...more
PAUL AZORIN

Paul Azorin Chief Technology Officer at BairesDev Pablo Azorín is the Founder and Chief Techno...more
JAMES KENNY

James is a Research Enthusiast that focuses on the understanding of how things work and can be impro...more
TREENA MURPHY

Warm greetings to you!! Hello there, my name is Treena (Smiley) Murphy I am a part time blogge...more
LAURA JEEVES

At LeadGenerators, we specialise in content-led Online Marketing Strategies for our clients in the t...more
LUMINHOME LIGHTING

About Us Luminhome Lighting provide one-stop services in lighting design and manufacture of LED lum...more
KIRAN KAUR

Kiranpreet (Kiran) Kaur, D.D.S., who received her Doctor of Dental Surgery degree from the prestigio...more

HomeLinksAbout UsContact UsTerms of UsePrivacy PolicyFAQResources
Copyright © 2019, All rights reserved.
Some pages may contain portions of text relating to certain topics obtained from wikipedia.org under the GNU FDL license