Did Volatility Risk Premium Strategies Deliver in March?

April 14, 2020 | Jessica Noviskis, CFA, Portfolio Strategist, OCIO Services

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.