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Da Vinci Fund

Monday, March 19, 2007

The fund generates performance from volatility as an asset class.

A SQUARE :: 19Mar07 Da Vinci Fund
Category	Volatility
Faculty	Hendrik Klein
Expertise	Volatiliy Trading
Author	Sona Blessing
The Da Vinci Fund platform includes volatility arbitrage in the form of sophisticated long/short gamma strategies, gamma scalping. It specialises in arbitrage strategies based on highly advanced computer programming techniques. The fund targets market niche opportunities where inherent and momentary price inefficiencies exist. Their proprietary statistical models and automated trading robots monitor global markets and exploit situations where unexpected events push derivative prices unrealistically high or low. Spread trading accounts for 70% of their trading strategy: ie. pairs trading, volatility spreads. There is an execution risk because differences occur but only in a very short time frame.
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