Volatility: A Year Later - Stacey Gilbert Portfolio Manager, Derivatives - Glenmede - Investment Management
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Stacey Gilbert Volatility: A Year Later Portfolio Manager, Derivatives
CBOE Volatility Index (VIX) Last Price
90
80
70
60
VIX Closing Price
50
40
30
20
10
0
VIX "Normal" Period VIX "Trigger" Period VIX 15 VIX 20
Sources: Glenmede Investment Management LP and Bloomberg. Orange points are periods when the VIX “trigger” was a 5-day average price >40 and remained with a 5-day average price >20.
All data 1990-2/12/2021, unless otherwise noted.
2CBOE Volatility Index (VIX) Futures Curve
31
29
27
Expectations of
25 increased volatility
relative to the 15 year
VIX Price
average
23
21
19
17
15
Spot 1M Future 2M Future 3M Future 4M Future 5M Future 6M Future 7M Future 8M Future 9M Future
VIX Futures Curve - Current VIX Futures Curve - 15 Year Average
Sources: Glenmede Investment Management LP and Bloomberg
All data 1990-2/11/2021, unless otherwise noted.
3Is the VRP available regardless of VIX level?
Volatility Risk Premium across VIX quintiles
7% 100%
6% 86% 87% 89%
84% 86%
30 day Volatility Risk Premium
80%
VRP Positive Frequency
5% 6.33%
4% 60%
4.69%
3% 4.76% 40%
2%
2.80% 3.27% 20%
1%
0% 0%
Starting VIX Level (Quintiles)
Avg VRP Positive Frequency
Source: FactSet
All data as of 12/31/2020, unless otherwise noted. This represents past performance which is not indicative of future results. We calculate the Volatility Risk Premium as the spread between
the closing price of the VIX Index and the subsequent 1-month realized price volatility of the S&P 500 Index. Each observation is a 1-month period starting on an options expiration date (the
third Friday of the month). As with all investments, loss is possible. See Additional Disclosures at the end of this document. For Institutional Investor Use Only.
4Is the VRP available regardless of VIX level?
$4,500 40
$4,000 35
$3,500
30
$3,000
25
$2,500
20
$2,000
15
$1,500
10
$1,000
$500 5
$0 0
SPX within 3% of ATH VIX >30 Average VIX VIXTeam contacts
Institutions, Consultants, Advisors
Platforms and Sub-Advisory
Jason Laird
Business Development Officer
Jeffrey W. Coron, CIMA
Direct: 215-419-6902
Director of Institutional Sales
Email: jason.laird@glenmede.com
Direct: 215-419-6627
Email: jeffrey.coron@glenmede.com
Kevin Heckman, CFA
Business Development Officer
Client Service Direct: 215-419-6193
Email: kevin.heckman@glenmede.com
Kent E. Weaver, CFA Jarrett Naiden, CIMA
Director of Sales and Client Service Business Development Associate
Direct: 215-419-6687 Direct: 215-419-6793
Email: kent.weaver@glenmede.com Email: jarrett.naiden@glenmede.com
6Disclosures Past performance is not indicative of future results. All materials presented herewith are illustrative and for discussion purposes with professional or sophisticated investors. This information contains confidential and proprietary information of Glenmede Investment Management, LP (“GIM”) and should be shared only with those persons assisting a prospect or investor with the selection of managers or investment strategies who agree to keep it confidential. This document should not be circulated to anyone else without the express approval of GIM. Nothing in this document alters the terms and conditions of the relationship between GIM and its client, which are governed by the Investment Management Agreement or other similar documentation. It is not a specific offer of services. This document has no regard to the specific investment objectives, financial situation or particular needs of any recipient and is not a solicitation or offer to buy or sell securities. Though all factual information herein was gathered in good faith and is believed to be accurate, no representation or warranty is provided in relation to the accuracy or reliability, nor is this document intended to be a complete statement or summary of the markets, securities, risks or developments referred to. This material should not be regarded by recipients as a substitute for the exercise of their own judgement. Opinions or objectives expressed herein are the current opinions or objectives as of the dates indicated, and may differ from those expressed by other persons or business units affiliated with GIM, which may use different assumptions or criteria. GIM is under no obligation to update opinions as they change. References to the manager’s investment process and objectives, including but not limited to investment screens, portfolio constraints and risk control are intended to provide the recipient with an idea of the portfolio manager’s goals. There is not guarantee such goals will not be changed, or that the current goals can be achieved. No investment is without risk. All performance results reported are historical. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Unless otherwise indicated, performance numbers included herein are reported gross of management fees. You will be charged management fees and management and other fees reduce returns. To see the performance of the relevant composite net of a standardized set of fees, see the GIPS Compliant Presentation on the prior page. Performance of individual accounts during the indicated period may be lower or higher than the performance in the composite. Opinions expressed relating to allocations are those of the author as of February 17, 2020. 7
Team contacts
Institutions, Consultants, Advisors
Platforms and Sub-Advisory
Jason Laird
Business Development Officer
Jeffrey W. Coron, CIMA
Direct: 215-419-6902
Director of Institutional Sales
Email: jason.laird@glenmede.com
Direct: 215-419-6627
Email: jeffrey.coron@glenmede.com
Kevin Heckman, CFA
Business Development Officer
Client Service Direct: 215-419-6193
Email: kevin.heckman@glenmede.com
Kent E. Weaver, CFA Jarrett Naiden, CIMA
Director of Sales and Client Service Business Development Associate
Direct: 215-419-6687 Direct: 215-419-6793
Email: kent.weaver@glenmede.com Email: jarrett.naiden@glenmede.com
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