Some Vol Funds News

FINalternatives reports that recent large trades in crude may be linked to liquidation of Blueshift Energy Fund. New-York based fund had a strong start, returning 15% in its first 7 months of trading in 2013, and 9% in 2014. According to most recent fund data, the fund was managing $170M but had a difficult year, losing 8% in March, and being down more than 9% this year.
FINalternatives article. Fiscal times article

Blackheath Volatility Arbitrage Strategy is also apparently closing out - the fund information was removed from website leaving other two funds. Funds performance has been rocky - it lost 4% in 2013, 5% in 2014, and is down 23% for 2015.

True Partner Capital is expanding, and planing to open US office in Chicago. Hong-Kong based volatility fund profited from the turbulent markets 2 months, up 15% on the year according to recent bloomberg article. The fund was recently a winner of AsiaHedge 2015 award in the market neutral and arbitrage fund category.


Few months ago I posed a quick note on date count as it relates to MLKJ day. Recently I received an email from Luigi Ballabio that correction has been accepted and will become part of Quantlib 1.7. Thanks to John Orford for the suggestion!

Volatility and the Allegory of the Prisoner's Dilemma

While I try to focus on original research on this blog, I cannot pass up opportunity to share this new research piece from Chris Cole of Artemis Capital - Volatility and the Allegory of the Prisoner's Dilemma. It is, as always, excellent.

Weekly market report

Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...