Senior Research Analyst, Alternatives
Volatility Risk Premium (“VRP”) strategies — also known as defensive equity strategies — are relatively new to the institutional landscape, but have grown in popularity given the current backdrop of historically high equity valuations, low interest rates, and frustration over hedge fund fees and performance. This newsletter summarizes how these strategies operate and outlines key risk and return metrics that will help investors decide if a VRP strategy is appropriate for their portfolios.
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.
With the value premium seemingly in decline, value investors have had a lot to complain about over the past ten…
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