QVR Advisors’ Flagship Volatility Fund Gains Over 50% in March

(Bloomberg) -- The most volatile month in history for U.S. equities was a banner period for QVR Advisors.

The hedge fund, which specializes in volatility and options trading strategies for institutional investors, posted a 52.6% return net of fees in its flagship offering in March on the heels of a 6.1% advance in February, according to a letter to investors seen by Bloomberg.

That beats the 11.1% gain in March by the fund’s benchmark, the CBOE Eurekahedge Relative Value Volatility Hedge Fund Index, its best such showing going back to 2005. The preliminary data may be influenced by survivorship bias among reporting members. The S&P 500 fell 12.5%, its worst month since October 2008.

The firm declined to comment.

QVR’s relative value absolute return strategy got its biggest boost from the hedged volatility component, which held a so-called “long vega, market neutral” position through most of March. The jump in March VIX futures from 26.3 to above 80 prior to expiry was a boon to performance.

Benn Eifert is the chief investment officer of QVR, which also includes senior quantitative trader Tae Hong and head of operations Scott Toyama. The company was launched in 2017 with the backing of PAAMCO, a fund-of-funds firm also based in California.

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