Evolved volatility arbitrage strategy performs well in most market environments

Strategy evolution

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Volatility arbitrage, much like the phenomenon on which it is based, has seen some significant ups and downs since 2008. The crisis proved to be a catalyst for investors’ growing interest in volatility. The vacillations of markets and subsequent returns as the crisis continues to unfold have sparked an evolution in the strategy.Volatility arbitrage has become an increasingly diverse pool of funds, making it difficult for investors to get a holistic view and understand how the different