We regard overlay management as the systematic control of existing risks while taking our clients’ specific requirements into consideration.
Investors are always looking for asymmetric return distributions – high participation in advantageous and low participation in disadvantageous price movements.
We are certain that the best way to achieve this type of profile in the medium to long term is through long positioning in realised volatility. For us, this involves the integration of various quantitative methods and aspects of behavioural finance in our model architecture which serves to calculate the optimal participation level. Implementation through specific trades is carried out by means of linear instruments.