Part 2 of Vol Fund Special: Net Short Vol Fund which switched to Long up 10% on Monday!
I’m always skeptical when vol funds say they can shift to net long when the time comes. So I expected funds which made money in 2017 to be down a little, or at most flat, for Monday.
This is what Fund A did last year:
The fund was up slightly in January and for February,
“up until Friday the fund was up 1.8%, and Monday we estimate the fund up around +10-11% on the day…
…we remain net long vol – essentially now with the VIX complex in heavy backwardation our long vol remains very attractive on 1 day fwd drift perspective”
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