Volatility management specialist Runestone Capital is to launch its first ever US fund. The systematic strategy buys or sells US equity index volatility on a one-day forward basis based on statistical probabilities.
The strategy allows investors to access pure volatility as an asset class through trading VIX related instruments such as VIX futures, exchange traded notes, and options. Historical returns have been shown to typically be uncorrelated to traditional equities and fixed income since inception in May 2015.
“The strategy has delivered returns in very different market conditions as the strategy is agnostic to being long or short and to pre-set market conditions,” says Rune Madsen (pictured), CIO of Runestone Capital. “The exceptional thing with volatility is that it is has a perpetual opportunity set. Volatility always exists.”
“Understanding volatility and how to manage its risk specifically as an asset class requires special focused expertise,” says Greg Sperrazza, US Head of Sales for Runestone Capital. “Managing volatility is all we focus on and doing it on one-day forward looking basis is something that we believe is unique. We think it helps capture opportunities that might otherwise be missed while keeping risk at a prudent level.”
The new fund is called Runestone Capital U.S. Fund and will run pari passu to the original Malta based SICAV, named Runestone Capital Fund. Its first day of trading is set to be Oct 1, 2017. The fund’s capacity is currently projected at USD500 million based on the size of the current VIX market.
Founded in 2014 by Rune Madsen and Rasmus Andersen, Runestone Capital specialises in quantitative and qualitative strategies based on volatility. Peter Clarke, the former chief executive officer of Man Group, is a senior advisor to the firm.
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