Volatility tends to be high during periods of increased anxiety and low during periods when there is more appetite for risk, but it also tends to return to average levels over time. It is possible to exploit this secular behavior through a strategy investing in volatility with a contrarian style. Seeyond's Long Volatility strategy aims to increase exposure to volatility when it is low and sell it back when it is high.
The strategy thus looks to exploit volatility spikes and volatile markets and thus generate diversifying returns within an overall allocation. Conversely, during calm market conditions, the strategy may suffer negative carry costs. This is why it is in the investor's interest to combine the strategy consistently with the rest of the portfolio allocation and over the long term.
Generate a diversified return in volatile market conditions in exchange for a cost of carry in calm markets
Active daily monitoring strengthened by the consistency of mathematical tools developed by our experts
The Long Volatility strategy consists in an exposure to equity market volatility through flexible and quantitative allocation using statistical tools developed by Seeyond’s experts.
Generate performance in volatile market conditions.
Volatility of US equity markets (S&P 500 index) and European equity markets (Eurostoxx 50 index) through liquid and listed instruments (derivatives on indicies)
Main risks: capital loss risk, volatility-linked risk, equity risk, exchange rate risk, counterparty risk, geographic and portfolio concentration risk, model-based risk.