Short volatility strategies serve institutional investors as alternative sources of return. On the capital market, the volatility risk premium follows the principle of an insurance cover. It is possible to receive it as capital market participants expect higher volatility in the long term than it occurs in reality. This risk premium can be invested through option transactions.

The mutual funds 7orca Vega INCOME and 7orca Vega RETURN offer investors access to the volatility risk premium, adapted to their risk/return requirements.

Proven Quantitative Investment Strategy

The investment funds are based on a rule-based and forecast-free investment process. Only exchange-traded options are used in order to implement a favorable and efficient allocation.
Implementation is carried out via a short strangle, with simultaneous out-of-the-money call and put options being sold. This allows the performance in sideways markets to be strengthened and the hedge costs in oscillating markets to be limited to a moderate level.

Sophisticated Risk Management

The foundation of the investment process is our proprietary risk management. The focus is on the intelligent limitation of the delta – i.e. the dependence of the option price on the price change of the underlying asset – within a defined variation corridor.

Due to the low correlation of volatility risk premiums to traditional asset classes, these strategies can help investors to improve their risk-adjusted returns over the long term.

Two Mutual Funds to Collect Volatility Risk Premiums

With the two investment funds 7orca Vega INCOME and 7orca Vega RETURN, 7orca offers two short volatility solutions to meet the different investor needs.