Volatility Risk Premium strategy positioning

Simon Aninat, Volatility expert and portfolio manager at Seeyond, explains the positioning for the Volatility Risk Premium strategy.

Main risks of the strategy: capital loss risk, volatility-linked risk, risk related to the underlying asset, model-based risk.  

Highlights

  • An innovative alternative for investors within the galaxy of income strategies and a potential source of diversification;
  • A strategy designed to aim at a long-term beta to Equities ranging between 0.3 and 0.4 and a risk/return profile comparable with those of traditional income strategies;
  • Two major differences with traditional income strategies: the nature of the alpha and the exposure to duration risk.
This material is provided for informational purposes only and should not be construed as investment advice. The views and opinions expressed may change based on market and other conditions. There can be no assurance that developments will transpire as forecasted. Actual results may vary.

Seeyond is an affiliate of Natixis Investment Managers
Seeyond - Registered Office: 43 Avenue Pierre Mendes France – 75013 Paris – France
A limited company with capital of € 4 963 183 - Regulated by AMF under n° GP 17000034
Company Trade Registration (RCS) Number 525 192 720 Paris