Actively harvests the risk premium observed in VIX futures using transparent Exchange Traded Products (ETPs).
Employs the diversity of two unique volatility strategies to trade four popular volatility ETPs in one managed account.
Goes beyond front month VIX exposure by investing in the longer dated VIX futures term structure.
Data as of 3/31/20
*Trailing 1 Year
The Invest In Vol Endurance Volatility Strategy harvests the Risk Premium observed in VIX futures using an actively managed portfolio of four ETPs. The Strategy is unique in employing two popular and separate approaches in one managed account and benefits from the diversity of independent strategies implemented across volatility term structures.
Returns come from three separate but related sources: the premium hedgers pay over realized volatility for equity index options (Volatility Risk Premium), the further premium hedgers pay for volatility futures over the price implied by equity index options (Futures Risk Premium), and, to a lesser degree, the tendency for measures of implied volatility like the VIX Index to mean revert over time. Like the premium collected by insurance companies, Volatility Risk Premium and Futures Risk Premium can be collected by volatility investment strategies. We apply three approaches to collect these premia:
> Absolute measures of volatility futures’ contango and backwardation
> Momentum changes in Volatility and Futures Risk Premium
> Trends observed in the implied and realized volatility of the S&P 500