Resources

White Papers

September 2016
An Overview of Option Strategies

January 2015
Capstone Tail Hedging Review

About Volatility Strategies

Across the volatility space, there are a wide range of strategies which serve different purposes within institutional investment portfolios. These range from long volatility (Risk Off) strategies to short volatility (Risk On) strategies. These strategies can add value to different buckets within institutional portfolios from long only to hedge funds, to hedging or tactical portfolios.

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Tail Risk / Non Linear Return Profile
Targets a highly convex return in a market environment experiencing a sharp downturn (-20%)

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Short Volatility / Carry Trades
Performs best in a normalized, low volatility environment

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Long Volatility / Linear Return Profile
Targets a linear return during market downturns

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Extreme Short Volatility
A levered version of carry trades (4)

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Relative Value / Capstone Volatility Master
Targets an uncorrelated all-weather return by buying the cheapest long volatility strategies (2) and selling the most expensive short volatility strategies (4)

UK Stewardship Code

Capstone Investment Advisors (UK) LLP (CIA) supports the stewardship code's objectives but does not claim to comply with the code as its investment strategies do not generally involve taking positions in UK listed stock. Moreover if we were to take a position in a UK listed stock, our investment strategy would be to trade the volatility of the security and this investment strategy is not consistent with the principles of the code.

 

Disclaimers

Information presented herein does not constitute advice or a recommendation or offer to sell or a solicitation to deal in any security or financial product.

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