The Fund aims to exploit what we view as pricing inefficiencies in the equity volatility markets with particular reference to the correlation dynamics associated with equity index volatilities and their underlying and related single stock volatility components. Several well-known factors lead to implied correlation trading at a premium to long-term realised correlation most of the time. In addition, we aim to exploit any “axes” that investment banks may have in terms of not being able to warehouse risk that they have acquired as a result of selling structured products and in particular auto-callable structures to their private wealth clients. Finally, we intend to exploit some behavioural tendencies we observe in the relative pricing of volatilities of some single stocks versus other single stocks.
Discretionary Opportunity Identification
Discretionary decision of Where and When
Systematic Stock Selection
If you have any questions, do contact us and we would be happy to have a chat.
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