Drilling Down on Long Vol

Published on
March 2nd, 2020
Duration
33 minutes

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19

Drilling Down on Long Vol

The Expert View ·
Featuring Matt Rowe

Published on: March 2nd, 2020 • Duration: 33 minutes

Should I be short volatility or long volatility? After last week’s dramatic sell-off the answer might seem obvious, but Matt Rowe of Headwaters Solutions argues the answer is both. Rowe and Headwaters love the long vol trade, but only as an appropriately sized portion of a portfolio that is in general, short vol. He makes the case that most portfolios are indirectly short vol and that there is nothing wrong with that, as short vol is how money is and will continued to be made over time. He also answers the questions of if and how long vol can be added to a standard retail portfolio. Filmed on February 25, 2020 in New York.

Comments

Transcript

Chapters

  1. 00:03:04
    INDIRECT FORMS OF THE SHORT VOL TRADE
  2. 00:05:27
    HOW DOES SELLING VOL AFFECT THE UNDERLYING?
  3. 00:07:50
    WHAT INDICATORS DO YOU USE TO TIME LONG VOL TRADES?
  4. 00:11:08
    HOW QUICKLY DOES THE SHORT VOL TRADE RETURN AFTER A VOL SPIKE?
  5. 00:12:15
    TRADING AFTER A VOL SPIKE
  6. 00:14:07
    ARE THERE ANY REAL WORLD EXAMPLES OF THE LONG VOL TRADE?
  7. 00:17:02
    HOW DO UNPREDICTABLE EVENTS LIKE CORONA VIRUS FACTOR INTO THE LONG VOL THESIS?
  8. 00:18:55
    WHAT WILL THE NEW VOL ENVIRONMENT LOOK LIKE?
  9. 00:21:34
    WHAT DOES A RETAIL LONG VOL PORTFOLIO LOOK LIKE?
  10. 00:25:12
    HOW SHOULD PEOPLE THINK ABOUT SIZING?
  11. 00:27:11
    VOL ARBITRAGE EXAMPLES
  12. 00:28:25
    IS SHORT VOL INHERENTLY BAD?

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Morgan Creek Capital Management was founded in 2004 and currently manages close to $2 billion in discretionary and non-discretionary assets. Prior to founding Morgan Creek, Mr. Yusko was CIO and Founder of UNC Management Company (UNCMC), the Endowment investment office for the University of North Carolina at Chapel Hill. Before that, he was Senior Investment Director for the University of Notre Dame Investment Office. Mr. Yusko has been at the forefront of institutional investing throughout his career. An early investor in alternative asset classes at Notre Dame, he brought the Endowment Model of investing to UNC, which contributed to significant performance gains for the Endowment. The Endowment Model is the cornerstone philosophy of Morgan Creek, as is the mandate to Invest in Innovation.

Mr. Yusko is again at the forefront of investing through Morgan Creek Digital Assets, which was formed in 2018. Morgan Creek Digital is an early stage investor in blockchain technology, digital currency and digital assets through the firm’s Venture Capital and Digital Asset Index Fund.

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