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LONG VOLATILITY
PHILOSOPHY
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.
KEY POINTS
A clear return proposal
Generate a diversified return in volatile market conditions in exchange for a cost of carry in calm markets
Active management
Active daily monitoring strengthened by the consistency of mathematical tools developed by our experts
OUR APPROACH
Investment strategy
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.
Objective
Generate performance in volatile market conditions.
Investment universe
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.
OUR EXPERTS
Simon ANINAT
Portfolio Manager
- Simon Aninat worked in the Equity Derivatives Group at J.P. Morgan, first in London and then in Tokyo, where he was a Volatility Trader. He held various roles at Murex Société Générale, J.P. Morgan and Natixis. In 2012, Simon joined Seeyond as a Portfolio Manager dedicated to Volatility Management.
Joran CHALAL
Portfolio Manager
- Joran Chalal began his career as an Assistant Trader at Natixis. In 2017, he joined Société Générale CIB in London also as an Assistant Trader. In 2019, Joran joined Seeyond as a Portfolio Manager specialized in Volatility Management.
Stéphanie NOEL
Portfolio Manager - Implementation
- Stéphanie Noël began her career in 2002 at Axa IM as a Middle Office Manager. In 2012, she became a Portfolio Manager at Natixis AM. Since 2018, Stephanie Noël is a Portfolio Manager in Seeyond’s implementation team.
Sébastien GUERIN
Portfolio Manager - Implementation
- Sébastien Guerin began his career in 1989 as an Equity Trader, then Portfolio Manager, in 2002. He entered Seeyond research team in 2014 as a Global Analyst.Since 2018, Sébastien is a Portfolio Manager within Seeyond Implementation team.