Volvar Asset Management (Volvar AM) is a Paris-based independent asset management company specialized on the volatility asset class. Their first fund is seeded by IMQubator, the seeding fund to which Dutch pensions giant APG has committed €250mln in 2009.
Volvar AM will shortly launch the innovative, long/short Volvar Eurozone Volatility Fund which aims at both absolute return and anti-correlation. It is one of the first systematic funds within an emerging asset class. Although fully systematic, the portfolio management process is centered on ex-ante qualitative objectives.
The fund combines protection strategies (directed to exploit the negative beta of the asset class) with return strategies (based on being carry positive to monetise the asset class risk premium). Adaptative portfolio risk control aims at performance preservation should volatility collapse. By focusing purely on volatility, the fund avoids contingent risks that can haunt other volatility funds. In addition, the fund does not apply directional exposure, nor leverage.
This Opalesque.TV BACKSTAGE feature of Nadejda Rakovska, partner at Volvar AM, is a succinct example of IMQubator's principle to “look for people who have a passion and a drive for their business, and for whom setting up their own firm is a logical step in their total career development for which they basically have been preparing over many years.” (Jeroen Tielman, CEO and Founder of IMQ Investment Management in an Opalesque.TV portrait accessible here: http://www.opalesque.tv/hedge-fund-videos/Jeroen_Tielman/1).
While Volvar' AMs fund is new, the model is proven since 2006, a first version being created and implemented within a Lehman Brothers AM offshore fund as a systematic volatility strategy aiming at absolute return and anti-correlation with equities. Lehman Brothers’ issues caused a premature interruption at that time.
Since 2011, Volvar AM is authorized and regulated by the AMF, the French Security and Exchange Authority. The Volvar Eurozone Volatility Fund's capacity could eventually grow to EUR 1 billion.
Nadejda Rakovska is a senior portfolio manager with 10 years experience in the industry. Former equity derivatives trader, she started at Commerzbank NY in 2001 before joining Lehman Brothers Investment Management Division in 2005 to set up their European volatility portfolio management. At the creation of the European quant group for Lehman Brothers she participated in all aspects of the launch of that business unit. Together with Yves Coignard (Volvar AM's CIO), she developed and implemented systematic equity and volatility strategies, among which the first generation of the Eurostoxx volatility strategy presented here. Nadejda holds a business degree from ESCP Europe and a MSc in Economics and Statistics from ENSAE. She can be reached at nadejda.rakovska@volvarasset.com.
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Volvar Asset Management (Volvar AM) is a Paris-based independent asset management company specialized on the volatility asset class. Their first fund is seeded by IMQubator, the seeding fund to which Dutch pensions giant APG has committed €250mln in 2009.
Volvar AM will shortly launch the innovative, long/short Volvar Eurozone Volatility Fund which aims at both absolute return and anti-correlation. It is one of the first systematic funds within an emerging asset class. Although fully systematic, the portfolio management process is ce
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