„Short Volatility Strategies make Sense.“

The market distortions, caused by the COVID-19 pandemic have affected almost all asset classes and investment strategies. Due to their strategy inherent characteristics, short volatility concepts also suffered, some incurred significant losses.

„Short volatility risks: déjà vu?“

For many market participants and especially volatility investors, February 2018 provided an experience that’s been difficult to forget: within one day, stock volatility recorded a massive jump; in the wake of this, short volatility strategies recorded significant losses. Are short volatility strategies facing another jump in volatility in autumn 2019?

„Answers to a changed FX market structure“
The foreign exchange market has undergone significant structural changes in recent years. The liquidity structure has changed, since established market participants have less risk-bearing capacity due to regulatory reasons and have to react to the emergence of new market participants.

„Currency overlay management – systematic management of existing currency risks“
Foreign currency risks are often undesirable, but unavoidable side effects of an internationally diversified portfolio. In this INSIGHT we give you an overview of how currency risks can be managed through currency overlay strategies.

„The power of diversification in short volatility investing“
Reading about volatility/variance risk premium is mostly limited to equity markets. However, there is great benefit in harvesting the risk premium across other markets like fixed income or currencies.

„How currency overlay strategies can benefit from artificial intelligence“
Increasing availability of data and ever-growing computational capacity have helped to advance artificial intelligence methods, whose effectiveness until recently had been relatively limited. In the light of these developments it has become increasingly attractive to exploit the potential of AI for the quantitative hedging approach.