Hedge fund volatility strategy PM returns and drawdowns

Question

Hi, can someone provide typical returns for PMs running volatility strategies at hedge funds such millennium, capula, citadel etc. Alao, what drawdown limits do these PMs typically have contractually and how much is a typical usage for vol strategies. Also, what is typical sharpe and holdingbperiod of such strategies as well as number of strategies run concurrently. Say for $100mm capital at risk, what is typical net and gross vegas and correlation sensitivities etc. Thank you very much.

sicilian · Accepted Answer

Still surprising Voloridge is in the options space! Though it does explain the outsized returns of las couple of years. they were always seen as quite innovative in the quant equity space and their returns were significantly superior to competitors. Probably not quite on the level of PDT/DeShaw but very strong. Though learning that they had a short vol operation makes me question how much that performance was due to vanilla market neutral equities book.

The only successful long vol 'groups' were traders at prop shops / market-makers that were given a book.

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Hedge fund volatility strategy PM returns and drawdowns