The High Yield Club Strategy
High Yield Club invests multi-strategy platform includes Volatility Arbitrage in the form of sophisticated long/short gamma strategies, gamma scalping and automated arbitrage trading. Our aim is to deliver stable positive absolute returns on a biweekly basis. Our portfolio is primarily delta neutral and hedged against rising or falling markets.
* Main strategy: taking advantage of anomalies and inefficiencies in option markets
* Discrepancies between the implied volatility of options and the historical or expected volatility lead to investment opportunities
* Mostly market-neutral positions, hedged with the underlying
* Strictly controlled and limited risk (maximum loss is often just the option premium paid)
* Mainly Options and Futures on Euro-Bund, Euro-Bobl, Euro-Schatz, T-Bonds, T-Bills, T-Notes and DJ Euro Stoxx 50
* Targeted monthly return on capital in the 40% to 100% range
Investment Philosophy
High Yield Club invests employs different trading strategies to benefit from various forms of anomalies in the volatility of several underlying products. Spread trading accounts for 70% of our trading strategy, i.e. Pairs trading and volatility spreads in instances where the implied volatility of an option is inconsistent with its historical volatility or recent implied volatility. Our proprietary statistical models and automated trading robots constantly monitor global markets and exploit situations where unexpected events push derivative prices unreasonably high or low. We place a great deal of emphasis on the development of new trading strategies and are constantly refining our proprietary arbitrage models to tap new markets, financial instruments and inefficiencies. Our risk management is based on well-defined risk parameters and stop-loss levels.
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Subject: Highyieldclub - highyieldclub.com 
Sun Apr 18, 2010 8:05 pm
