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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.


QIS - a Viable Alternative to Volatility Hedge Funds?

August 2023

“The wide range of quantitative investment strategies (“QIS”) 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.”


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”


Daily Options

June 2023

“With the EURO STOXX 50® options series (OEXP), market participants can access a range of short-dated options, providing increased flexibility to trade and hedge short-term market fluctuations…”


The Fruits of a Diversified Approach


“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?”



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…”


Modernizing the Diversification Toolkit: Allocating to Defensive Alternatives


“We’ve seen increased interest in risk mitigation solutions that combine multiple alternative strategies in an effort to enhance portfolio diversification. We’ve 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 PIMCO’s perspectives from our partnerships with some of the most sophisticated institutions globally…”

Societe Generale

Insights Digital Hub

Insight Series • July 2023

“In–depth insight to navigate complex markets…”

Graham Capital Management

The Benefits of Non-Correlated Alpha

Insight Series • 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…”

True Partner Capital

Are we near the top of the escalator?

Chicago/Hong Kong • 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…”

The GVS is continuously committed to keeping investors updated on the volatility markets throughout the year and educated on innovations within the space. Managers and industry experts across the volatility, derivative, and quantitative space will contribute brief, thought-provoking market updates, which we hope you find insightful.


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.

Volatility Premiums Are Currently at the All-Time Highs

In the chart below we show the 15-year percentile of various premiums across several asset classes (as of August 2021). Earnings, bond and credit yields are at their 15-year lows. Equity volatility premiums (IV-RV, Term Structure, Skew), on the other hand, are in the 90th percentile. This may be the right time to take a closer look at the equity volatility premiums and their added value in a balanced portfolio.

Volatility Premiums Are Currently at the All-Time Highs

Risk Perception has Changed Post-COVID Market Crash

Markets are well on their way to posting another record year and the Covid crash now looks like a blip, albeit a big one, in the unstoppable rally. But is there more to this than meets the eye? We plotted the worst S&P500 daily returns from January to August 2019 versus the daily changes in the VIX and compared this to the data from the same period in 2021. An elevated nervousness in the post-Covid era is clearly observable – the jumps in the VIX are higher on the days when the S&P500 is down. Some of the likely reasons for this change in the risk perception are not only related to the lingering memory of the Covid crash, but also due to the increasing concerns related to the withdrawal of the supply of liquidity and increasingly stretched equity valuations.

Change in risk perception?

Several commentators, including Cornerstone, are highlighting how cheaply investors can now put on one-week straddle trades, in which they buy 1-week at-the-money put and call options to position for a spot move in either direction. Given that the S&P 500’s five-day high-low range has recently been above 4%, as the second chart shows, a straddle that pays if the market moves more than 1.1% in either direction over a five-day period looks like a decent proposition. However, context matters here. This is a big week for S&P 500 quarterlies and the data show that the average move in the index has not been large during recent earnings weeks. On paper, then, the straddle may not be as cheap as it looks. However, for investors who have a high conviction viewpoint on earnings news, macro developments, or even the unfolding story of the Delta variant, positioning for these via a straddle is relatively inexpensive, especially if they are prepared to trade the intraday moves.

One-week straddle costs in the S&P have dipped to 1.1%

 Source: Cornerstone Macro

The market commentary contained herein represents the subjective views of certain Capstone personnel and does not necessarily reflect the collective view of Capstone Investment Advisors, LLC (“Capstone”), or the investment strategy of any particular Capstone fund or account. Such views may be subject to change without notice. You should not rely on the information discussed herein in making any investment decision. Not investment research.

The market data highlighted or discussed in this document has been selected to illustrate Capstone’s investment approach and/or market outlook and is not intended to represent fund performance or be an indicator for how funds have performed or may perform in the future. Each illustration discussed in this document has been selected solely for this purpose and has not been selected on the basis of performance or any performance-related criteria.

This document is not an offer to sell or the solicitation of any offer to buy securities. The content herein is based upon information we deem reliable but there is no guarantee as to its reliability, which may alter some or all of the conclusions contained herein. This document may not be reproduced or distributed without the express written permission of Capstone.

Investment and Trading Risks: Capstone serves as the investment manager to a number of investment vehicles that pursue alternative investment strategies. Investments in alternative investments are speculative and involve a high degree of risk. Alternative investments may exhibit high volatility, and investors may lose all or substantially all of their investment. Investments in illiquid assets and foreign markets and the use of short sales, options, leverage, futures, swaps, and other derivative instruments may create special risks and substantially increase the impact and likelihood of adverse price movements. Interests in alternative investment funds are subject to limitations on transferability and are illiquid, and no secondary market for interests typically exists or is likely to develop. The investment and trading risks associated with each vehicle’s investment instruments and techniques are described in detail in the vehicle’s offering documents. Capstone’s investment vehicles are also subject to counter-party risk; illiquidity risks; ability to acquire assets at favorable spreads and spread-widening risks; hedging risks; and custodial risks.  Alternative investment funds are typically not registered with securities regulators and are therefore generally subject to little or no regulatory oversight. Performance compensation may create an incentive to make riskier or more speculative investments. Alternative investment funds typically charge higher fees than other types of investments, which can offset trading profits, if any. There can be no assurance that any alternative investment fund will achieve its investment objectives.

Securities highlighted or discussed in this document have been selected to illustrate Capstone’s investment approach and/or market outlook and are not intended to represent the Funds’ performance or be an indicator for how the Funds have performed or may perform in the future. Each security discussed in this letter has been selected solely for this purpose and has not been selected on the basis of performance or any performance-related criteria. The securities discussed herein do not represent an entire portfolio and in the aggregate may only represent a small percentage of a Fund’s holdings. The Funds’ portfolios are actively managed and securities discussed in this document may or may not be held in such portfolios at any given time. Nothing in this document shall constitute a recommendation or endorsement to buy or sell any security or other financial instrument referenced in this document.

Capstone does not recommend any trades as we are not a broker dealer. The examples above are presented for illustrative purposes only, showing examples of the type of trades we monitor. There is no guarantee that Capstone will be able to identify and execute similar trades or successfully implement the strategy.

The market observation(s) has/have been provided for discussion purposes only and describe(s) investments that may be made by Capstone. There can be no assurance that the investment opportunities similar to those described in the market observation will become available to the Capstone. Any specific investments referenced in this document were selected for the purpose of describing the investment processes and analyses used by Capstone to evaluate such investments.

This document contains certain forward looking statements, opinions and projections that are based on the assumptions and judgments of Capstone with respect to, among other things, future economic, competitive and market conditions and future business decisions, all of which are difficult or impossible to predict accurately and many of which are beyond the control of Capstone. Other events which were not taken into account in formulating such projections, targets or estimates may occur and may significantly affect the returns or performance of any funds managed by Capstone. Because of the significant uncertainties inherent in these assumptions and judgments, you should not place undue reliance on these forward looking statements, nor should you regard the inclusion of these statements as a representation by Capstone that the funds will achieve any strategy, objectives or other plans. For the avoidance of doubt, any such forward looking statements, opinions, assumptions and/or judgments made by Capstone may not prove to be accurate or correct.

Certain information and statistical data contained herein have been obtained from third party sources which we believe are reliable but in no way are warranted by us to accuracy or completeness.

References to Indices: The S&P 500® is regarded as a gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 companies and captures approximately 80% coverage of available market capitalization.

Notices to Investors Outside of the U.S.

Capstone is not registered, authorised or eligible for an exemption from registration in all jurisdictions. Therefore, services described herein may not be available in certain jurisdictions. This material does not constitute an offer or solicitation where such actions are not authorised or lawful, and in some cases may only be provided at the initiative of the prospect. Further limitations on the availability of products or services described herein may be imposed. This material is only intended for investors which meet qualifications as institutional investors as defined in the applicable jurisdiction where this material is received.

Notice to Investors in the European Union and United Kingdom

This material is only intended for investors which meet qualifications as institutional investors as defined in the applicable jurisdiction where this material is received, which includes only Professional Investors as defined by the Markets in Financial Instruments Directive (MiFID). This material is not for use by retail clients and may not be reproduced or distributed without Capstone’ permission.

Notice to Investors in California

This information is confidential. If you are not the intended recipient, please delete it without further distribution and reply to the sender that you have received the message in error. This message is provided for information purposes and should not be construed as a solicitation or offer to buy or sell any securities or related financial instruments in any jurisdiction. California residents should review our California Privacy Notice:

Notice to Investors in Korea: Capstone is not making any representation with respect to the eligibility of any recipients of this material to acquire any products managed by Capstone under the laws of Korea, including but without limitation the Foreign Exchange Transaction Act and Regulations thereunder. Capstone has not registered any shares with regards to any of its products under the Financial Investment Services and Capital Markets Act of Korea, and none of the shares may be offered, sold or delivered, or offered or sold to any person for re-offering or resale, directly or indirectly, in Korea or to any resident of Korea except pursuant to applicable laws and regulations of Korea.

Notice to Investors in Canada: The content of this material has not been reviewed by any Canadian Securities Regulatory Authority and does not constitute an offer to sell or a solicitation of an offer to buy securities in any jurisdiction where such offer or solicitation would be unlawful, and does not constitute an offer to sell or a solicitation of an offer to buy or an advertisement in respect of securities in any province or territory of Canada.

Notice to Investors in Australia: Capstone is regulated by the SEC under US laws, which differ from Australian laws. This material provided to you is factual in nature. It is not an offer or advice, and is not intended to recommend or state an opinion of Capstone. Capstone is an authorized representative (number 001279754) of Specialised Investment and Lending Corporation Pty Ltd AFSL 407100.”

Notice to Investors in China: This material, which has not been submitted to the Chinese Securities and Regulatory Commission, may not be supplied to the public in China or used in connection with any offer for the subscription or sale of interests in any investment product to the public in China.

Notice to Investors in Russia: Any product offered by Capstone (financial instruments) are not intended for placement in (or on the territory of) the Russian Federation and are not advertised or otherwise publicly marketed and/or offered for sale to the public in the Russian Federation.

Notice to Investors in Hong Kong: Warning: The contents of this document have not been reviewed by any regulatory authority in Hong Kong. You are advised to exercise caution in relation to the document. If you are in any doubt about any of the contents of this document, you should obtain independent professional advice.

Notice to Investors in Japan

Capstone is not providing this material to you for purposes of soliciting an investment in fund securities by you or your client investors, but rather for informational purposes only. By accepting this material, you acknowledge, confirm and agree that you have never been contacted by a representative of the Capstone in any manner which may amount to an offer to buy (or solicitation of an offer to buy) any interests in funds in Japan.

Notice to Investors in Switzerland

This material is only directed at qualified investors as defined in article 10 paragraphs 3 and 4 of the Federal Act on Collective Investment Schemes 23 June 2006 (“CISA”) and its implementing ordinances (“Qualified Investor”), as amended from time to time. This material is for educational purposes only and under no circumstances constitutes the provision of advice.

Notice to Investors in Singapore: This material has not been submitted to the Monetary Authority of Singapore. Accordingly, this material and any other document or material in connection with the offer or sale, or invitation for subscription or purchase, of shares may not be circulated or distributed, whether directly or indirectly, to persons in Singapore other than (i) to an institutional investor pursuant to Section 304 of the Securities and Futures Act, Chapter 289 of Singapore (the “SFA”)) or (ii) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the SFA.

Notice to Investors in Saudi Arabia: Capstone is not registered in any way by the Capital Market Authority or any other governmental authority in the Kingdom of Saudi Arabia. This presentation does not constitute and may not be used for the purpose of an offer or invitation.

Notice to Investors in UAE: Capstone has not received authorization or licensing from the Central Bank of the UAE, the SCA or any other authority in the UAE to market or sell interests within the UAE. Nothing contained in this presentation is intended to constitute UAE investment, legal, tax, accounting or other professional advice. This presentation is for the informational purposes only and nothing in this presentation is intended to endorse or recommend a particular course of action. Prospective investors should consult with an appropriate professional for specific advice rendered on the basis of their situation.

Harold de Boer

Managing Director, Head of R&D


Harold is the architect of Transtrend’s Diversified Trend Program, responsible for R&D, portfolio management and trading. Harold was born and raised on a dairy farm in Drenthe. And from a young age, he has been intrigued by linking mathematics to the real world around us.

He graduated in 1990 with a Master’s degree in Applied Mathematics from the University of Twente in the Netherlands. In the final phase of his studies, while working on the project that would later become Transtrend, he became fascinated by the concept of leptokurtosis — or ‘fat tails’ — in probability distributions, a topic which has inspired him throughout his career.  

Harold’s approach to markets is best described as a combination of a farmer’s common sense and mathematics, never losing sight of the underlying fundamentals.