The volatility risk premium represents the premium investors are ready to pay to get protection against large market movements. Our Volatility Risk Premium Strategy is based on a quantitative model and is designed as an income product. It focuses on selling equity volatility and targets a beta lower than Equities without the structural duration risk that most income products onboard.

2022 gave us the opportunity to show that our strategy was more resilient than most income strategies in the rising interest rates environment thanks to its duration-free characteristic.

With now over 5 years of live track-record, our strategy delivered robust risk adjusted returns and a Sharpe ratio above 0.6 over the period. It proves to be diversifying as a long-term strategic investment in an allocation.

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

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Reading time : 15 min.
Reading time : 15 min.
INSIGHTS EXPERTISES
The rate movement since mid-2022, both highly anticipated and surprising in its magnitude, has upset some investment paradigms anchored for several decades. The new IFRS accounting rules also change the classification of assets for a large number of insurers. The year 2023 therefore offers the opportunity to review the structure of the portfolios and to implement a more active management, in order to take full advantage of the new market conditions, while integrating accounting concerns, explains Rémi Lamaud, Expert Solutions, Insurance Management and ALM solutions department at Ostrum AM.
06/02/2023
Reserved for pros
Reading time : 15 min.
INSIGHTS EXPERTISES
02/24/2023
Reserved for pros