Premialab featured again in Bloomberg’s latest article: Popular Hedge Fund Option Trade Adjusts With Turbulent Market
While the three-month S&P 500 implied correlation has fallen from a high earlier in April, its average for the month was about double the one-year mean. Quantitative Investment Strategies — of which some look to profit from dispersion — that have proliferated across equity markets recently were broadly active, and gamma-neutral variants in particular did “very well,” according to Adrien Geliot, the Chief Executive Officer of Premialab, a firm tracking QIS offerings.
The abundance of volatility selling strategies also appears to have escaped the tariff turmoil with little damage so far. Some tactical multi-strat funds capitalized on the elevated volatility levels in early April by entering the carry — or short-volatility — trade, he added. Some funds that were able to time the entry point well ended up making double-digit returns in just a few days as volatility collapsed, according to Geliot.
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