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VOLATILITY RISK PREMIUM
PHILOSOPHY
Equity markets’ evolution is influenced by investors’ behavioral biases: overconfidence, herding behavior, fear of loss, etc. In the case of fear of loss, investors are much more sensitive to the losses they might be subject to when investing in financial markets than to the gains they might extract from them. In order to prevent these losses, investors tend to seek protection against strong market movements and the related volatility by buying options. In exchange, the sellers of these options charge a risk premium. The Volatility Risk Premium strategy precisely seeks to exploit this risk premium and the fear of loss by structurally selling volatility.
The strategy’s objective is to seek to capture the volatility risk premium in order to provide an alternative long term return source to traditional asset classes.
KEY POINTS
An alternative source of returns
Aim to generate long term returns by capturing the volatility risk premium
Liquid investments
Daily liquidity through a strategy using only in liquid and listed instruments
OUR APPROACH
Investment strategy
The Volatility Risk Premium strategy consists in an active strategy of selling liquid and listed derivatives (options and index futures), thus seeking to avoid the pitfalls of passive strategies.
Objective
Generate a long-term return by capturing the volatility risk premium.
Investment universe
Volatility of global equity markets (S&P 500, Eurostoxx50, Footsie100, Nikkei and HangSeng indices) through liquid and listed instruments (index derivatives)
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.