Attempts to capture large VIX spikes by aggressively taking long volatility positions during periods of uncertainty.
Analyzes implied volatility for the coming nine days to quickly capture short-term volatility swings.
Strategy Developer holds a PhD in Nuclear Physics from MIT and multiple patents in data discovery.
Data as of 6/30/20
*Trailing 1 Year
The Vaucluse Long Bias Strategy is an aggressive, algorithmic investment approach designed for investors looking to benefit from large, periodic changes in market volatility. The Strategy analyzes the shape of the VIX Futures term structure and rapidly rebalances a portfolio of long and short volatility Exchange Traded Products (ETPs) or takes a position in leveraged treasury bond ETPs when signals warrant. The Strategy is particularly sensitive to implied stock market volatility over the coming nine days to maximize its potential of capturing shorter volatility swings. Additionally, during periods of weak market consensus, the Strategy can hold large cash positions of up to 100%.
> ProShares Short VIX Short-Term Futures ETF (SVXY)
> iPath Series B S&P 500 VIX Short Term Futures ETN (VXX)
> Direxion Daily 20+ Year Treasury Bull 3X Shares (TMF)
> ProShares UltraPro Short 20+ Year Treasury ETF (TTT)
The Strategy aims to deliver annualized returns of twice its expected drawdown and has been well positioned in periods of sudden elevated volatility such as seen in February 2018 when the VIX Index surged more than 200% over a 24 hour period.