Strategie-Beschreibung (englisch)

The risklab Variance Premium Trading Index ("VPT index") systematically sells variance swaps on EuroStoxx50 and S&P500 to provide exposure to the differential between (forward looking) implied equity index volatility and subsequently realized volatility.

The fully rules-based VPT investment strategy is designed to generate positive performance during periods where implied volatility levels are greater than their subsequently realized levels. It is motivated by the historical observation that implied volatility tends to overestimate future realized volatility, resulting in a negative risk premium of volatility or variance, respectively.

The collateral of the index is invested into EUR denominated money market instruments.