The Newedge Volatility Trading Index rose by an estimated 1.33 per cent in August, following an estimated increase of 2.58 per cent in July.
Since inception, the index is up 5.52 per cent.
The number of constituent funds is nine. They are: Acorn Derivatives – Absolute Return Offshore; Amundi Funds Volatility World Equities; BAM Opportunity Fund; Bay Hill Capital Fund; Cassiopeia Fund; JD Capital – Tempo Volatility Fund; KBD Capital Partners, class B; MM Capital Select 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 and arbitrage funds.