The Newedge Volatility Trading Index fell by an estimated 0.47 per cent in November, compared with a rise of 0.34 per cent the previous month.
Year-to-date the index is down 0.83 per cent. Since inception it has returned 10.94 per cent.
From 1 November 2009, the MM Capital Select Fund has been included in the Newedge VTI calculation, taking the number of constituent funds to 11.
The other ten 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.
The Newedge VTI is a performance measure for the volatility trading and arbitrage style within the hedge fund universe. It is an equally weighted portfolio of volatility and arbitrage funds.
