The huge spike in the VIX index of S&P500 volatility is not likely to revert to the mean in the near future, according to Catherine Vaughn of JPMorgan hedge fund outfit Highbridge Capital Management.
Speaking at the International Investment Middle East Gulf Forum in Abu Dhabi, Vaughn - European business development manager for the hedge fund specialist - said that while it is easy to introduce a shock into a calm environment, it is seldom possible to impose calm. "Volatility should remain elevated for quite a period - we just don't know what's going on, and conditions where people feel comfortable are still a while away," she said, adding that the volatility has actually worked in the Highbridge market neutral fund's favour. "We are not dependent on high volatility but it's useful f...
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