HFR’s Long Volatility Indices are composites of funds of various strategy types that generally position their portfolios to profit from sharp increases in the value of option positions and portfolios when market volatility increases. Long Volatility strategies specifically focus on options which surge in value under periods of extreme financial market stress and dislocation with these events driven by market developments that occur infrequently and are highly unexpected yet offer high asymmetric payoffs when they do occur. These strategies contemplate and position for financial market scenarios which involve asset price movements of multiple standard deviations from normal historical movements. The report offers an overview of HFR’s Long Volatility Indices performance.
