Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

Where can I get data on performance metrics for volatility arbitrage funds? I am trying to compare the Sharpe ratio of my strategy to those of the major players.

share|improve this question
2  
Hi Alan, welcome to quant.SE. Please consider registering to track the progress of your question. –  Tal Fishman Oct 6 '11 at 16:37
    
@Alan: You can accept one of the answers if you are satisfied by it :-) –  vonjd Jan 28 '13 at 16:15
add comment

1 Answer 1

This depends a little bit on your definition of volatility arbitrage but in general what is meant is a strategy that takes advantage of the difference between implied volatility and realized volatility. Normally you receive implied variance and pay realized variance.

This strategy is the classical example of picking up nickles in front of a steamroller because it generates quite high Sharp ratios over extended periods of time until it crashes and when not managed right even blows up.

So just to give you some benchmarks you should search for "Volatility Arbitrage Index" (e.g. here and here - with Sharpe ratios included) and there are even some investable products out there (e.g. here - Sharp ratios included too).

So it very much depends on the time range what Sharp ratio you will get - the following chart makes it clear what I mean (Source: http://www.cboe.com/micro/vty/):

enter image description here

share|improve this answer
add comment

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.