Volatility arbitrage performance in August

The August 2005 return for the Fimat Volatility Arbitrage Median (FVAM) is +0.51%. This gives a year to date return for 2005 of +0.95%.

After the eventful month in July, the global volatility indices posted good gains in August. The VIX returned +8.9% (to 12.60%), its first monthly gain since April, and third gain this year; and in Europe, equity market volatility soared with the VSTOXX returning +14.14% (to 15.15%), and the VDAX 20.15% (to 14.85%).

In the commodity markets, Brent Crude gained 11.68% (reaching over USD 68/barrel intra month), and Gold gained 1.26% (touching USD 450/oz).

The constituents of the FVAM are:

1) er Global Volatility;
2) Lynx Arbitrage Fund;
3) Quadix Volatility Fund;
4) SGAM Volatility Arbitrage Fund;
5) Shooter Multi Strategy Fund;
6) Titan Global Volatility Fund;
7) Turtle Fund.

For more information on Volatility Arbitrage please click here

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