The low-volatility anomaly is often attributed to limits to arbitrage, such as leverage, short-selling and benchmark … that is able to benefit from the anomaly. This paper finds that the return difference between low- and high-volatility ….e. hedge funds tend to bet not on, but against the low-volatility anomaly. This finding suggests that limits to arbitrage are …

? The most-quoted measure of volatility is the VIX Index. On January 1, 2008, the VIX stood at 22.50. By October 24, 2008 …, volatility had spiked to 89.53, a 298-percent increase. The VIX fell during 2009, reaching a low of 19.25 by December 24, 2009, a … 78-percent decrease. If hedge funds are short volatility, was their 2008 negative performance a function of the sharp …