Delta Managed Volatility

Delta Managed Volatility is a total return strategy that targets an annual return of 12%-18% while minimizing the volatility of the portfolios to achieve its return objective.

DMV goals are accomplished by running two negatively correlated strategies that produce a positive return (classic definition of arbitrage). One of the strategies is a Black Swan strategy that protects the portfolio against unexpected market events.

In Delta Managed Volatility the delta neutral requirement of traditional volatility arbitrage is dropped and instead portfolio delta and other risks are managed subject to a required return constraint. Profits are obtained through alpha capture trading strategies that generate alpha by taking advantage of the nonlinear relationship between volatility and time in option valuation.

We will use options on ETFs of broad based indices, options on futures of broad based indices and options on major currencies to achieve its objective.

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