MW Amid the chaos of April, this fund returned 25% to investors. Here's how it did it.

By Jules Rimmer

By any metric, the month of April was a turbulent one for markets. The S&P SPX fell 11% at one point before recovering to almost flat. The VIX VIX index - the most widely-used measure of market volatility - spiked from the low 20s to over 50 when tariff consternation peaked.

Ambrus Group's Volatility Fund, a hedge fund executing a tail-risk strategy, exploited the carnage to deliver a 25.21% investment return during the month, according to data from Societe Generale - the best out of any hedge fund it tracked during the month. Hedge fund returns are not widely available, so the tracking from major investment banks, even if not comprehensive, is often the best way to compare performance.

Tail-risk funds are designed to protect investors by profiting from extreme market events, often by purchasing volatility instruments through options and other derivatives instruments.

Ambrus, founded in 2022 by friends Kris Sidial and William Wise, employs a proprietary trading model that is 50% quantitative and 50% discretionary.

The most successful trades in the Ambrus armory that month were one-to-two month out-of-the-money S&P 500 contracts and one-to-three month out-of-the-money VIX contracts, said Sidial.

"As a volatility trader, we can remain largely agnostic to macro themes-but I will say this: [President Donald] Trump has historically been good for volatility. I believe we'll see another spike before year-end," said Sidial, the co-chief investment officer, in an interview with MarketWatch.

He added, "Capital markets tend to struggle with digesting large-scale policy reform-we saw a preview of that in April. Trump is particularly unique for a volatility trader because he brings two essential ingredients for explosive volatility: the kind of market positioning that amplifies dislocations, and the bold policy moves that trigger them. "

Sidial cited previous instances of this trend: "That behavioral dynamic is exactly why we witnessed multiple volatility events during his previous term: Volmageddon in Feb 2018, the December 2018 20% drop in the S&P, VIX spiking over 80 in March of the pandemic, and subsequent spikes in June, September, and October 2020. I suspect we're in for a similar, if not more extreme, cycle this time around."

The Ambrus fund was not the only fund betting on volatility to thrive in April.

Unsurprisingly given the carnage, nine of the top ten ranking funds in the Societe Generale list were characterized as volatility, currency or event-driven, but even in this company, monthly returns were clustered between 10% and 20%.

Sidial credited his firm's "dynamic trading" approach to being able to outperform rivals. He believes his firm's edge stems from being able to take the other side of trades made by big end-users, driven by mandates or risk management protocols, who often aren't sensitive to short-term price swings.

Since inception, Ambrus generated an aggregate return of 51.48% by spring of 2025, compared to the 13.5% recorded by the S&P 500 index over the same period and its achievements were just recognized in the Hedge Fund Journal awards for 2025, published this month, where it was voted best performing tail risk fund in the volatility space.

While the long-term average of the VIX index is around 20, incidents where it has burst through 30, generally considered to be an elevated level, are infrequent and often associated with major disruptions to trade or the economy like 9/11, the global financial crisis and the global pandemic of 2020-2021. The key for a tail risk fund is to "minimize bleed" or keep trading losses to a minimum while waiting for the unpredictable periods of volatility that are necessary to justify the strategy.

Coming out of calm periods with a flat profit is considered a success.

For example, throughout most of 2024 volatility was subdued and markets coasted steadily higher. However, the disruption caused in the first week of August by the unwinding of the carry-trade in the Japanese yen $(USDJPY.FOREX)$ , sent VIX steepling to 65 and this was enough for Ambrus to capitalize, as most of their 13.24% gain for the whole year was accumulated in this short, frenetic bout of activity.

Sidial observed that May and June thus far had been "solid" in terms of performance, and he was keen to stress that long volatility strategies can be profitable when VIX itself is declining. There are plenty of options strategies and synthetic shorts - whereby a trader finds a mechanism to replicate short positions without actually taking one - available to carve out returns when markets are returning to relative normalcy, he said.

-Jules Rimmer

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(END) Dow Jones Newswires

June 13, 2025 02:43 ET (06:43 GMT)

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