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Home Archive by Category "Hedge Funds"

JonathanHedge Fund Strategies, Hedge Funds, Quantitative Equity Strategy, Systematic Strategies, Systematic Volatility StrategyMonthly Report, Quantitative Equity Strategy, Systematic Strategies Fund, Systematic Volatility Strategy

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JonathanAlgorithmic Trading, Collective 2, Hedge Funds, Systematic Strategies, VIX Index, Volatility, Volatility ETF StrategyAlgorithmic Trading, Collective 2, Hedge Fund Strategies, Systematic Trading, VIX ETFs

Regular readers will recall my mentioning out VIX Futures scalping strategy which we ran on the Collective2 site for a while: The strategy, while performing very well, proved difficult for subscribers to implement, given the latencies involved in routing orders via the Collective 2 web site. So we began thinking about slower strategies…

JonathanEquities, Hedge Funds, High Frequency Trading, Quantitative finance conference Derman Dupire forecasting volatility, Systematic Strategies, Trading SystemsEquity Long/Short, Fund of Funds, Hedge Fund Strategy, Quantitative Equity

High Frequency Trading Strategies One of the benefits of high frequency trading strategies lies in their ability to produce risk-adjusted rates of return that are unmatched by anything that the hedge fund or CTA community is capable of producing. With such performance comes another attractive feature of HFT firms – their ability to make money (almost) every…

JonathanEquities, Genetic Programming, Hedge Funds, Machine Learning, Portfolio Construction, Portfolio Management, Portfolio TheoryEquity Portfolios, Genetic Programming, Hedge Fund, Portfolio Construction, Portfolio Risk, Portfolio Theory, Quantitative Equity Strategy

For many decades the principles of portfolio construction laid out by Harry Markovitz in the 1950s have been broadly accepted as one of the cornerstones of modern portfolio theory (as summarized, for example, in this Wikipedia article). The strengths and weakness of the mean-variance methodology are now widely understood and broadly accepted. But alternatives exist, one…

JonathanEquities, Hedge Funds, Portfolio Management, Systematic Strategies, Volatility ETF StrategyEquities, Hedge Fund, Systematic Strategies, Volatility Trading

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JonathanETFs, Hedge Funds, VIX Index, Volatility ETF Strategy, Volatility ModelingETFs, Hedge Funds, Volatility

Grace Kim, Brand Director at DarcMatter, does a good job of setting out the pros and cons of ETFs vs hedge funds for the family office investor in her LinkedIn post. She points out that ETFs now offer as much liquidity as hedge funds, both now having around $2.96 trillion in assets. So, too, are her…

JonathanETFs, Hedge Funds, Relative Value, VIX Index, Volatility ETF Strategy, Volatility ModelingLong/Short, Relative Value, Volatility, Volatility ETFs

The popular VIX blog Vix and More evaluates the performance of the VIX ETFs (actually ETNs) and concludes that all of them lost money in 2015. Yes, both long volatility and short volatility products lost money! Source: Vix and More By contrast, our Volatility ETF strategy had an exceptional year in 2015, making money in…

JonathanHedge Funds, VIX Index, Volatility ETF Strategy, Volatility ModelingHedge Funds, SVXY, UVXY, VIX, Volatility, Volatility ETFs, VXX, XIV

Volatility as an asset class has grown up over the fifteen years since I started my first volatility arbitrage fund in 2000. Caissa Capital grew to about $400m in assets before I moved on, while several of its rivals have gone on to manage assets in the multiple billions of dollars. Back then volatility was…

JonathanAlternative Investment, Hedge FundsAlternatives, Asset Allocation, Diversification, Family Office, Hedge Funds, Kurtosis, Portfolio Management, Skewness, Wealth Management

The most recent Morningstar survey provides an interesting snapshot of the state of the alternatives market. In 2013, for the third successive year, liquid alternatives was the fastest growing category of mutual funds, drawing in flows totaling $95.6 billion. The fastest growing subcategories have been long-short stock funds (growing more than 80% in 2013), nontraditional bond…

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