Why Does Volatility React So Differently To Crises? This Fund Manager Has An Answer

Logica Capital’s Absolute Return fund was down 0.2% for March, following a flat return for January and February combined. The fund’s naïve straddle consisting of one put and one call was down 5.6% for March and 3.3% for the first quarter. The CBOE Volatility Index was down 9.6 points or 31.8% for March but up 3.3 points or 19.4% for the first quarter. The S&P 500 was up 3.6% for March but down 4.9% for the first quarter. Logica’s Tail Risk fund was down 1.6% for March but up 2.7% for the first quarter. The fund’s naïve ratio was down…