Strategy

We pursue long, short and neutral views on volatility with a goal of positive absolute returns. We take both directional volatility strategies which maintain exposure to the direction of implied volatility and volatility arbitrage positions which typically maintain characteristic sensitivities to levels of implied and realized volatility, term structure and other market strategies.

We evaluate opportunities across volatility regimes, maturities and instruments. In calmer markets, the portfolio may emphasize well-compensated carry and relative value opportunities. During periods of stress or dislocation, exposure can be reduced, hedged or reallocated toward convexity and opportunities created by abrupt changes in implied and realized volatility.

Risk management is central to the investment process. We monitor market, leverage, liquidity, counterparty and operational risks, with position sizing calibrated to both expected return and downside convexity. Stress testing and scenario analysis are used to evaluate the potential impact of volatility spikes, sharp changes in correlation, liquidity deterioration, directional market shocks and changes in implied volatility surfaces.

Our objective is to provide investors with a differentiated, risk-controlled return stream that can complement traditional equity, credit, commodity and macro exposures. By focusing on volatility as an investable asset class, the strategy seeks to access return drivers that are structurally distinct from conventional long-only and directional hedge fund strategies, while maintaining a disciplined emphasis on capital preservation, liquidity awareness and risk-adjusted performance.