QIS - a Viable Alternative to Volatility Hedge Funds?


In this document, our research team classifies quantitative investment strategies in the volatility space and compares them with established volatility funds. While the historical performance of both groups is similar, our study highlights the specific advantages of volatility funds. There is no doubt that QIS have improved substantially from the early days, as advances in knowledge and technology have led to more sensible implementation – goodbye, naked short variance! For volatility managers and their investors, it means their “raison d’être” is shifting from their technical expertise – building a specific derivatives portfolio with fixed risk characteristics – to their capacity to add value in actively managing derivatives exposures.

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