Shopping Cart -

Your cart is currently empty.
Upgrade to today
for only an extra Cxx.xx

You get:

plus This issue of xxxxxxxxxxx.
plus Instant access to the latest issue of 280+ of our top selling titles.
plus Unlimited access to 26000+ back issues
plus No contract or commitment. If you decide that PocketmagsPlus is not for you, you can cancel your monthly subscription online at any time. Auto-renews at €10,99 per month, unless cancelled.
Upgrade Now for €10,99 Learn more
This website use cookies and similar technologies to improve the site and to provide customised content and advertising. By using this site, you agree to this use. To learn more, including how to change your cookie settings, please view our Cookie Policy
Pocketmags Digital Magazines
IT
Pocketmags Digital Magazines
   You are currently viewing the Italy version of the site.
Would you like to switch to your local site?
Leggi ovunque Read anywhere
Modalità di pagamento Pocketmags Payment Types
Trusted site
A Pocketmags si ottiene
Fatturazione sicura
Ultime offerte
Web & App Reader
Regali
Loyalty Points

Man FRM Early View

February 2018

MAN FRM

Markets

The unprecedented and eerie calm of the last two years was finally shattered in February by the sound of breaking glass in the volatility market. Of course, no one could really predict exactly when it was going to happen, but the market always tends to chase carry trades. As returns are eroded by the weight of capital, investors lever up their exposure until the carry is squeezed dry, and then some bright spark tries to get out. Historically it is at this point that it all gets ugly.

With the help of a nudge from the inflation data at the beginning of February, the Vix market acted out the narrative. The last of the carry disappeared at the end of January and the rest is history. Even the size of the move was unexceptional: the intra-day range of the Vix on the first Monday of February was similar to, for example, August 24, 2015. It was only if you measure the move on a close to close basis, that the move in February looks unusually large by historical standards. In other words, while you could complain about bad luck with the valuation level (at the day’s highs)… that’s about it in our view.

READ MORE
Purchase options below
Find the complete article and many more in this issue of The Hedge Fund Journal - Issue 130 – March 2018
If you own the issue, Login to read the full article now.
Single Digital Issue
Issue 130 – March 2018
€129,99
This issue and other back issues are not included in a new The Hedge Fund Journal subscription. Subscriptions include the latest regular issue and new issues released during your subscription.
6 Month Digital Subscription
Only € 140,00 per issue
€699,99

View Issues

About The Hedge Fund Journal

Informing the Hedge Fund Community. With access to some of the industry’s biggest names and an astute and talented group of writers and contributors, The Hedge Fund Journal has established itself as a trusted source of information on the hedge fund industry.