Plenum Investment’s volatility-linked strategies are now available through a delta one certificate on the Pulsar Absolute Protect EUR TR Index.

The current macro environment raises lots of interest in investment solutions that focus on tail-risk management. Plenum’s team around Dr Heiko Bailer has actively invested in volatility-linked strategies for a couple of years.

The investable index is sponsored and calculated by BNP Paribas, with Plenum Investment as its investment adviser.

The certificate offers absolute return and protects risky portfolios during tail events. The mechanism of the strategy switches between collecting carry (premium paid for protection) and going long volatility (offering protection) during tail-risk events.

The certificate is available for institutional/qualified investors only. It was launched on 17 September 2012.