The Newedge Volatility Trading Index fell by an estimated 1.28 per cent in December, following an estimated drop of 0.47 per cent the previous month.
The index has returned 9.52 per cent since inception.
From 1 November 2009, the MM Capital Select Fund has been included in the Newedge VTI calculation, bringing the number of constituent funds to 11.
The other ten funds are: Acorn Derivatives – Absolute Return Offshore; AM Investment Partners V Fund; BAM Opportunity Fund; Bay Hill Capital Fund; CAAM Funds Volatility World Equities; JD Capital – Tempo Volatility Fund; Lyxor G-Multi USD; KBD Capital Partners LP, Class B; Maple Leaf Macro Volatility Fund; and Swiss Alpha – Alpha Strategies Fund.
Newedge VTI is a performance measure for the volatility trading and arbitrage style within the hedge fund universe. It is an equally weighed portfolio of volatility trading & arbitrage funds.
