Due Diligence & Volatility Strategies

Ever wonder what a due diligence analyst does when they interview a hedge fund manager? I did. And i found this questionnaire:

The 1.2 Fund – Aima Ddq

While I’m sure there’s more involved, and the better managers differentiate themselves by doing even more diligence, it’s the general gist.

As part of my regular research I’ve come across other short volatility strategies and the returns. Here’s one fund that sells staggered straddles on the FTSE 100. The track record goes back to 1997 and an annualized return of 22.2%. That would put them at the top of any hedge fund return list. The issue I believe is most investors are inherently fearful of volatility strategies as well as these are likely AUM constrained.

2013_04 Oxeye OPS

And two other funds worth taking a look at:

http://www.onepointwo.com/performance.htm

http://www.globalsigmagroup.com/cgi/gs.cgi#Performance

 

Edit: 7/22/13

Since I’ve posted a few links, here are 2 recent papers from BlackRock on volatility that were kindly posted by @CondorOptions on twitter.

BlackRock on Short Vol

BlackRock on Managed Volatility

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~ by largecaptrader on July 20, 2013.

One Response to “Due Diligence & Volatility Strategies”

  1. […] info on short vol funds here and […]

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