Educational Resources
Newsletters and updates
The GVS brings together volatility and tail hedge managers, institutional investors, thought-provoking speakers, and other industry experts to discuss the volatility markets and the roles volatility strategies can play in institutional investment portfolios. The GVS aims to keep investors updated on the volatility markets throughout the year, and educated on innovations within the space. Capstone Investment Advisors has provided the latest piece in the GVS newsletter series.
Eurex
Expected Market Impact and Use Cases for Daily EURO STOXX 50ยฎ Options
August 2024
Daily index option expirations have been around for over a decade. However, the widespread adoption of daily expirations coincided with the introduction of daily expirations in the S&P 500 (SPX) arena. This paper discusses Eurexโs EURO STOXX 50ยฎ index suite, the latest segment to introduce daily expiring options. To gauge how these options will be used, and how they could impact the EURO STOXX 50ยฎ ecosystem, we turn to the SPX option market.
Transtrend
Just Buy the Index
August 2024
The SG CTA and SG Trend indices are nearing their 25th anniversary. While CTAs have been providing their services for much longer, the introduction of these indices in 2000 significantly boosted the recognition of CTAs as an investment style. Despite not being intended as benchmarks, theyโve effectively become leading performance benchmarks for both CTAs and (potential) investors. In todayโs investment climate, this naturally leads to the question: Canโt we just buy the index?
BNP Paribas
H2 Flash Survey Stock Up
August 2024
Nasdaq
The New Nasdaq-100ยฎ Index Options (NDX) Marketplace
August 2024
Access to options is more critical than when many of us started our careers. On an average day in 2024, the industry manages volumes that are roughly twentyfold a typical day at the turn of the century. Versus 2017, volumes have tripled. The catalysts are numerous. Fueled by technology, access and a broader understanding of this set of tools, the demand for optionality continues to grow.
Graham Capital Management
CIO Outlook
August 2024
Building Resilience in a Turbulent Geopolitical and Economic Landscape – As uncertainty reigns, investors must balance caution with opportunity.
UBS
US Equity Derivatives Strategy
August 2024
It’s complicated: Return of the ‘R’ word derailing the Goldilocks trade. The good, the bad, and the not so ugly…
ADAPT Investment Managers
Risk Premia Expansion / Compression Cycle
July 2024
Looking at the investment cycle through the lens of derivatives paints a rather fascinating picture. Following different risk parameters across asset classes and regions, we state that markets have almost reached the stage of maximum complacency.
Graham Capital Management
Challenges and Opportunities for Risk Assets
May 2024
Despite a few setbacks on the inflation front, the US economy continues to march along a path of benign conditions for risk assets and investment styles that typically flourish in low-vol, risk-on environments. However, navigating these seemingly favorable conditions requires a nuanced understanding of both the macroeconomic landscape and potential tail risks.
Graham Capital Management
Global Macro
April 2024
In the alternative investment industry, few strategies capture the breadth and complexity of global markets quite like global macro investing. At its core, global macro is not merely a single investment approach but a comprehensive strategy that seeks to capitalize on broad economic trends and geopolitical developments across the globe. With a focus on understanding and predicting macroeconomic variables such as interest rates, fluctuations in currencies, commodities, credit and equities, along with geopolitical events, global macro managers aim to generate returns by strategically positioning their portfolios to profit from both anticipated and unforeseen shifts in the global landscape. Global macro has demonstrated its ability to perform independently from other asset classes and withstand shifting market dynamics, making it an integral component of a well-diversified portfolio. In this primer, we’ll explore this strategyโs fundamental principles, key performance and investment characteristics, and the role global macro can play in building more resilient investment portfolios.
ASPECT CAPITAL
Capturing Unpredictability - Trend Following Alpha
February 2024
In this paper we explore whether it is time to move on from the โCrisis Alphaโ label for trend-following strategies, and instead think of them in terms of โUnpredictability Alpha.”
DOMINICE
QIS - a Viable Alternative to Volatility Hedge Funds?
August 2023
The wide range of quantitative investment strategies (โQISโ) fosters competition within volatility investing. We look at the performance of these sell-side products. Not surprisingly, they show great similarity to the buy-side, as know-how travels through the industry. We argue in favor of the QIS suite when targeting a specific risk factor exposure, but favor established funds when it comes to a strategic volatility allocation.
SECOR
Costless Collar and Equity Hedging vs Tail Risk Hedging
April 2023
Costless Collars are a popular equity hedging strategy, which appeals to investors by its simplicity and a promise of a free lunch: the portfolio appears to be protected and there are no initial cash outlays. In this note we evaluate this hedging approach and offer investors a framework to evaluate costless collars in 2023.
Eurex
Daily Options
June 2023
With the EURO STOXX 50ยฎ options series (OEXP), market participants can access a range of short-dated options, providing increased flexibility to trade and hedge short-term market fluctuations…
Transtrend
The Fruits of a Diversified Approach
TREND FOLLOWING โข August 2023
Why would anyone want to hold positions through a CTA trend program, when they can have the same positions through investments with more specialized managers instead?
SpiderRock
Transaction Cost Analysis for Derivatives
May 4, 2023
In an environment of increased regulatory scrutiny and fierce competition, Transaction Cost Analysis (TCA) is increasingly important to help firms measure how effectively portfolio orders are being executed. In the derivative space, the TCA concept is fairly new. Due to the nature of a derivative, which is tied to an underlying asset, simple equity style arrival time TCA metrics are not appropriate and often give spurious answers…
PIMCO
Modernizing the Diversification Toolkit: Allocating to Defensive Alternatives
VIEWPOINT โข MAY 2023
Weโve seen increased interest in risk mitigation solutions that combine multiple alternative strategies in an effort to enhance portfolio diversification. Weโve partnered with Paul Murray, an allocator with experience in implementing defensive alternatives for the Future Fund
and the Victorian Funds Management Corporation in Australia, to share his insights, along with PIMCOโs perspectives from our partnerships with some of the most sophisticated institutions globally…
Societe Generale
Insights Digital Hub
Insight Series โข July 2023
True Partner Capital
Are we near the top of the escalator?
Chicago/Hong Kong โข June 2023
Despite the headwinds of continued rate hikes and growing recession fears, equity markets have risen strongly in 2023 year to date. At the same time, implied volatility has compressed to levels well below long-term averages in major indices such as S&P 500 and the Euro Stoxx 50. In this article, we assess the rally, what may be coming next and how investors can position for different scenarios…
Graham Capital Management
The Benefits of Non-Correlated Alpha
Insight Series โข January 2023
In 2022, 60/40 portfolios suffered as both stocks and bonds sold off and the power of bonds as a diversifier (and, accordingly, a means of reducing portfolio volatility) deteriorated. Meanwhile, inflation exacerbated the issue and eroded real returns. These challenges indicate an increased need for alternatives that offer both diversification to equities and bonds as well as compelling long-term returns…
Disclaimer
These materials are provided by conference participants for informational purposes only and should neither be construed as investment advice nor an offer to sell or the solicitation of any offer to buy any security. You understand that the material made available via this website are the works of individual authors, has been posted with the permission of the conference participant, and does not necessarily represent the views of Summit. No representation or warranty is made concerning the accuracy of any data compiled herein. Summit does not provide tax, legal or accounting advice.