EIP Aleph rides high on uncertain markets


Volatility in March was a boon to the EIP Aleph fund, a multi-strategy Asia including Japan volatility and event-driven fund, which gained 3.13% for the month and was up 4.62% year-to-date.

The fund was long volatility and this was the top contributor to performance. The natural disaster in Japan pushed three-month volatility up from 22% to 45% as the fund unwound its Japanese position and went short volatility at 45% for a third of the book’s total long vega, explains EIP’s Toby Bland. Volatility then dropped from 45% to 28% in a matter of days and the fund