Did Volatility Risk Premium Strategies Deliver in March?

April 14, 2020 | Jessica Noviskis, CFA, Associate Director of Alternatives

The longest bull market in history ended abruptly in March as U.S. stocks finished their worst quarter since the Global Financial Crisis (GFC). The magnitude and speed by which the S&P 500 index sold off from late February through March shocked investors; what happened over multiple years during the GFC happened in a matter of weeks. During that same time period, the CBOE Volatility Index (VIX) hit an all-time high, as markets tried to discern the extent of the economic fallout from the spread of COVID-19. Volatility Risk Premium (VRP) strategies — which are designed to provide equity upside but downside protection — were not immune to the financial market dislocations but performed in line with our expectations and are set to rebound more quickly when broader market indices stabilize.

This newsletter reviews VRP strategies and provides an overview of recent manager performance and expectations going forward.

Read > Did Volatility Risk Premium Strategies Deliver in March?

 

The opinions expressed herein are those of Marquette Associates, Inc. (“Marquette”), and are subject to change without notice. This material is not financial advice or an offer to purchase or sell any product. Marquette reserves the right to modify its current investment strategies and techniques based on changing market dynamics or client needs.

Jessica Noviskis, CFA
Associate Director of Alternatives

Get to Know Jessica

The opinions expressed herein are those of Marquette Associates, Inc. (“Marquette”), and are subject to change without notice. This material is not financial advice or an offer to purchase or sell any product. Marquette reserves the right to modify its current investment strategies and techniques based on changing market dynamics or client needs.

Related Content

11.07.2024

Presidents, Real Estate, and Consistency

With the 2024 presidential election in the books, investors have now turned their focus to what the incoming Republican administration…

10.28.2024

Earnings Don’t Grow to the Sky

Loyal readers of Marquette research publications are likely aware that a small handful of U.S. large-cap technology-oriented stocks, dubbed the…

10.25.2024

A New Tariff in Town?

During his presidential term, Donald Trump increased tariffs on Chinese imports to address unfair trade practices including intellectual property theft….

10.24.2024

The Market Doesn’t Care

With the election less than two weeks away, polls indicate a very tight race not only for president but for…

10.24.2024

3Q 2024 Market Insights

This video is a recording of a live webinar held October 23 by Marquette’s research team analyzing the…

10.10.2024

The Elusive Small-Cap Revival

U.S. small-cap equities have trailed their larger peers for over 13 years. Although the asset class has shown intermittent signs…

More articles

Subscribe to Research Email Alerts

Research Email Alert Subscription

Research alerts keep you updated on our latest research publications. Simply enter your contact information, choose the research alerts you would like to receive and click Subscribe. Alerts will be sent as research is published.

We respect your privacy. We will never share or sell your information.

Thank You

We appreciate your interest in Marquette Associates.

If you have questions or need further information, please contact us directly and we will respond to your inquiry within 24 hours.

Contact Us >