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.
Reading time : 15 min.
Like many institutionals, insurers are exposed to multiple risk components, but the main component is interest rate risk. Interest rate risk stems from liabilities and it is necessary to have exposure in order to hedge this same risk carried under balance sheet liabilities. Fixed income instruments are thus a significant portion of the balance sheet and make the main contribution towards earnings on liabilities. This is a key factor of financial output for the euro-denominated fund.
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