London
Strategy: Systematic Long/ Short Absolute Return. Invest in US Equity Index Volatility. Long, short or spread positions in liquid volatility instruments. 20% return target annualized over a cycle regardless of market conditions, investments based on quantitative models and statistical probabilities.
Features: Strategy has shown to be non-correlated to both equity markets and volatility itself, and has generated 24% return since inception in May 2015. Positive return skew with larger up- than down-months and more frequent positive returns. Gains larger than +5% has occurred in 30% of months, while losses of that magnitude only occurred in 6% of months. Strategy has been proven in different market environments and generally provides lower risk and diversification benefits to multi-asset class portfolios. Won EuroHedge Emerging Manager Award 2017 for Macro, CTA & Volatility
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