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?
“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
“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”
“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
TREND FOLLOWING • 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?”
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…”
Modernizing the Diversification Toolkit: Allocating to Defensive Alternatives
VIEWPOINT • MAY 2023
“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…”
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.