Total of 48 funds across 38 managers with average fund being about 6 years old. Out of 48 42 have positive average returns, 18 have sharpe over 1, and only 5 have sharpe over 2. These 5 are
- Structured Alpha 1000 from Allianz
- Bond VOL from Global Sigma, as well as their
- Global Sigma Plus program
- Mint Tower
- Twin Tree
I am not familiar with the last two names, if you have any interesting information please get in touch.
P.S. A reader emailed me: "In your latest post your mention a report from Soc Gen. I have access to their markets portal, but can't find any recent report authored by or related to a Nelson or anything volatility. I'm very curious to look closer though. Can you help with any other identifiers of said report?" My reply: "I don't have access to the research portal and received it from a colleague. Maybe this will help - it was not a pdf report, but a spreadsheet called SG Nelson Report (May 2016) . Inside the spreadsheet it is called "Newedge Nelson Report".