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Research, insights, and thought leadership from the GVS community.
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. 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.
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.
Are We Near the Top of the Escalator?
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.
Transaction Cost Analysis for Derivatives
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.
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.
The Benefits of Non-Correlated Alpha
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