Jun 6, 2016

Making Money In Volatility Is Difficult

Well - making money in anything is difficult, but volatility is both difficult and complex. I received an interesting performance table for a number of  volatility and options funds (Nelson Report from Soc Gen, cannot post here for legal reasons) .

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".

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