Fund of Hedge Fund Ratings
Tail Risk Hedging
Volatility Risk Premium Strategies

Our Expertise

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FoHF Rating

HF-Analytics has developed a proprietary quantitative methodology to analyze the value added from the Strategic and Tactical Asset Allocation decisions and the Manager Selection skills of Fund of Hege Funds (FoHF) Managers.

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Tail Risk Hedging

HF-Analytics has developed a proprietary quantitative Tail Risk Hedging Strategy based on observable volatility market data. The strategy uses volatility derivates for hedging equity portfolios and funds of hedge funds against tail risk events.

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Volatility Premium Strategy

HF-Analytics has developed quantitative strategies based on the proprietary Tail Risk Indicator to access different forms of the volatility risk premium: The classical volatility risk premium from variance swaps and the volatility risk premium from VIX futures.

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Recent News

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Performance Review 2013

Performance Review 2013

In retrospect 2013 was a very difficult year for volatility strategies. Right at the turn of the year the VIX began to collapse after reaching an intermediate high at almost 22 points. During the year the VIX crossed two ti...

S&P 500 Nearing Potential Inflection Point

S&P 500 Nearing Potential Inflection Point

Since reaching its new all-time closing high at 1806.21 on 9th of December the SP 500 retreated just by 2%, while the VIX rose by over 18% reaching 16 points and VIX futures started trading in backwardation. In case the SP ...

Small Gain VIX Futures Risk Premium Strategy in November

Small Gain VIX Futures Risk Premium Strategy in November

During the month of November the VIX Futures Risk Premium Strategy gained 0.73%. Although the VIX itself went sideway during the month, while touching a high slightly above 14 points in the first half and falling afterwards...

VIX Futures Risk Premium Strategy: Improved Version

VIX Futures Risk Premium Strategy: Improved Version

We are rolling out an improved version of our VIX Futures Risk Premium Strategy, which we began trading already on 1st of November. The basic idea of the modification is to make the strategy more robust against increased vo...

VIX Futures Risk Premium Strategy: Performance Drag

VIX Futures Risk Premium Strategy: Performance Drag

During the month of October the VIX Futures Risk Premium Strategy lost 1.15%. The loss was mainly caused by a continued rise in the VIX throughout the first half of October, caused by the political deadlock between US Congr...

Will the Government Shutdown lead to a Stock Market Crash?

Will the Government Shutdown lead to a Stock Market Crash?

The political deadlock between US Congress and US Senate that caused a United states federal government shutdown since 1st of October resulted in a drop of the S&P 500 below 1660 points and spike in the VIX above 20 poi...

What will You Get

Fund of Hedge Fund Ratings

HF-Analytics uses a proprietary value added model that splits up the FoHFs return into the three value added components (Manager Selection, Tactical Asset Allocation and Strategic Asset Allocation) for its FoHF Ratings. Reports come in a peer group format.

Tail Risk Hedging Services

HF-Analytics offers a daily newsletter to institutional investors that features our proprietary Tail Risk Indicator (TRI). In addition, we offer a Tail Protect Strategy that uses volatility derivatives for protecting equity portfolios and FoHFs against tail risk events.

VIX Futures Premium Strategy

HF-Analytics offers a trading strategy for VIX futures which offer access to volatility risk premium in the VIX futures market. The strategy uses our proprietary Tail Risk Indicator (TRI) for timing the market and has a desaster hedge implemented.

Volatility Premium Strategy

HF-Analytics offers a trading strategy for Variance Swaps on the S&P 500 which offers a dynamic access to the classical volatility risk premium. The strategy uses our proprietary Tail Risk Indicator (TRI) for timing the market. Read more

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About us

HF-Analytics develops quantitative investment solutions for hedge funds.

We have developed a proprietary quantitative methodology to analyze the value added from the Strategic and Tactical Asset Allocation decisions and the Manager Selection skills of Fund of Hege Funds (FoHF) Managers.

We have developed a proprietary Tail Risk indicator (TRI) based on observable volatility market data, that is the core algorithm of our Tail Risk Hedging Strategy as well as of our Volatility Premium Strategies.

Get in touch

  • HF-Analytics GmbH
    Lagerhausstraße 4
    96052 Bamberg
  • Germany
  • +49 (0) 951 916 3882
  • +49 (0) 951 916 3883