Volatility Risk Premium

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Investment Objective

Our objective is long-term growth of principal by exploiting investors tendency to overestimate the probability of significant tail risk events. This approach is designed to provide beta neutral positive returns with moderate risk over the long run and low correlation to many traditional and alternative return sources.

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Strategy

The Volatility Risk Premium Product implements an alternative investment strategy that seeks to harvest return premia by systematically buying and selling market volatility. By using quantitative factors to categorize the forward looking market environment, this strategy either buys or sells, in essence, tail risk insurance. Because this strategy is minimally correlated with other asset classes, it can be applied as either a standalone strategy, or to enhance other strategies. The Volatility Risk Premium Strategy is implemented using in-house algorithms to ensure disciplined execution and to eliminate human error.

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As with all GPLS strategies, the Volatility Risk Premium Product can be customized to meet the investment objectives and needs of each individual client.

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