Panel Discussion on Volatility Based Investment Strategies at RMC

The first afternoon session at CBOE RMC Europe was a discussion titled Panel on Volatility-Based Investment Strategies.  The panel moderator was Chris Limbach, Managing Director Investments, PGGM Institutional Business.  The panelists were:

  • Uri Geller, Co-Founder and CIO, Granite M.S.A LTD
  • Roy Hoevenaars, PhD, Portfolio Manager, Blenheim Capital Management
  • Fergus Taylor, Portfolio Manager, Arrowgrass Capital Partners
  • Brendan Walsh, Multi Asset Fund Manager, Aviva Investors Global Services

Some themes that were touched on during the presentation included:

  • The search for yield has resulted in some structured solutions due to the low interest rate environment
  • It was noted that currency volatility has been an area of opportunity this year based on commodity price changes as well as political events
  • At times there are selective opportunities to be long volatility – but the mean reverting nature of volatility makes long volatility trading tricky
  • The creation and popularity of Weeklys has created many new opportunities
  • In a world of low-yield the S&P 500 offers one of the few quality investments
  • One panelist noted that VIX Weeklys are an instrument they turn to for long volatility positions