Treat volatility as an asset.
Volatility is the price you pay for liquidity; but, when viewed as an asset, investors may find potential differentiated sources of return.
Barrack Yard Advisors recognizes two volatility strategies:
Volatility Harvesting Overlay Strategy (selling calls)
Volatility Harvesting Overlay follows rigorous risk management procedures via a rules-based tactical trading model throughout the investment cycle, in order to rebalance and restructure the portfolio within established risk boundaries.
Volatility Arbitrage Strategy
This strategy uses a trading algorithm designed to detect and capitalize on short-term intra-market, capital structure valuation discrepancies, and cross asset class valuation dislocations.
Once identified, Volatility Arbitrage seeks to maximize profit potential through the cash or derivatives markets on varying assets and asset classes.
The portfolio manager maintains strict risk management procedures via a rules-based tactical trading model throughout the investment cycle, in an effort to reduce program risks.
Directional risk is generally reduced through dynamic hedges. Risk-defined option spreads aim to minimize the impact of extreme market events. Model risk is mitigated via intra-day validation of the pricing matrix.
Barrack Yard Advisors works with Arin Risk Advisors LLC to offer customized strategies for volatility harvest and arbitrage. (We generally do not attempt strategies that seek to predict volatility’s direction.)
Arin Risk Advisors also offers personalized risk replacement service to Barrack Yard Advisors clients.