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Terreus Capital: Generating Alpha From Shorting Volatility

Low volatility has plagued markets for the last few years. The large scale quantitative easing programmes from the Federal Reserve, European Central Bank, Bank of England and Bank of Japan have ripped volatility out of the markets causing a number of hedge funds to close. Long volatility, a strategy that essentially bets that volatility will rise, has been one of the hardest hit. The CBOE Eurekahedge Long volatility hedge fund index shows that it fell 10.7% from November 2016 to November 2017. Conversely, the CBOE Eurekahedge Short Volatility Hedge Fund Index returned 8.4% over the same time period. The average hedge...