How Macromoney has beaten August volatility

Hedge Funds
by 2n20.com posted 8years ago 84036 views
You returned 15.13% in August 2015 alone when there was a correction in most markets. How did you do that? August returns were the results of both our long term macroeconomic model and our short term model tracking volatility. Whilst the earlier gave us the signal to come out of equities at the beginning of April due to the slowing macroeconomic data; the latter gave us the signal in July of a potential upcoming and significant spike in volatility. In response to these signals we opened positions in ‘out of the money’ put options on S&P500. The initial total position in options in July was only 1,5% of NAV but it has generated a 15% net return in August.