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.