Swiss volatility arbitrage fund....

At a time when all strategies are becoming less profitable, Geneva-based firm Dominicé & Co has managed to return 16.6% (to 30th August) so far this year with its flagship volatility arbitrage hedge fund, Cassiopée, reported Swiss paper Le Temps yesterday.

Jean-Evrard Dominicé, associate at Dominicé & Co, told Le Temps that the fund’s performance was highly decolorated as the S&P500 lost 12% during the same period. He further commented that in the volatility field, markets are showing a structural aberration. Investors pay very high premium for short term volatility (4 to 6 weeks) by buying or selling calls or puts, either for speculation or for portfolio protection. This market myopia is leading to high premium. “We seek to collect those premiums, on a hedged basis, by having on the one hand exposure to volatility products, and on the othe......................

Source:
http://www.opalesque.com/AMB2008/46924Swiss_volatility_arbitrage_fund_returns_YTD.html

Fund of Hedge Funds News:

1. http://www.opalesque.com/AMB2008/46925Qbasis_Futures_fund_returns_in.html
2. http://www.opalesque.com/AMB2008/46926Hong_PMA_returns_YTD_numbers.html
   

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