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QIS – A Viable Alternative to Volatility Hedge Funds?

, 11 Sep 2023

In this paper, our research team classifies quantitative investment strategies within the volatility universe 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 quantitative investment strategies have significantly evolved since their early days, driven by advancements in knowledge and technology that have enabled more refined implementation—farewell to uncovered short variance positions! For volatility managers and their investors, this means their “raison d’être” is shifting: from technical expertise—constructing specific derivative portfolios with fixed risk characteristics—to the ability to generate value through active management of derivative exposures.

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