Oct 17, 2016

SAR Volatility Arbitrage Is Having A Great Year

Numbers for September are in and SAR Volatility Arbitrage fund (from Zurich-based Systematic Absolute Return AG) is having a fantastic +8.13% return for September, bringing their YTD return to +36.34%. Firm's website describes the strategy as follows.
SAR Volatility Strategies (“VOLS”) are SAR’s newly developed, model-based and fully automated short-term systems, trading S&P 500 Index volatility. SAR VOLS combines long and short volatility momentum and volatility arbitrage strategies within balanced portfolios to provide protection against volatility spikes and market sell-offs, plus steady returns. 
Somewhat slim on details, I assume they trade mostly VIX futures or VXX. Congratulations, guys!

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