Depending on the market and the timing of the index change, a market neutral strategy can provide liquidity and performance by taking specific positions by the day of the effective change in the index or the dispersion.
We are enthused by the opportunities in the segment of market neutral strategies. Despite asset volatility forcing us to do more research and assembly work to reduce strike-prima-volatility ratios, we believe that diligent exposure energy, luxury, and IT can yield more upside than the historic average return, which is around 60%.
Upon request, such strategies can be combined with capital-protected structure.