Key facts
- UBS and LGT Capital have formed a partnership focused on quantitative investment strategies (QIS) tied to Vix futures.
- The collaboration aims to bypass the need for retrofitted backtests by utilizing a decade of live trading history.
- The partnership includes two strategies: a dynamic protection strategy that is net long Vix futures, and a systematic macro strategy that is net short volatility.
UBS has entered into a partnership with LGT Capital to develop new quantitative investment strategies (QIS) that are linked to Vix futures. This collaboration is designed to circumvent the common industry practice of relying on retrofitted backtests for strategy validation. Instead, the partnership will leverage a decade of live trading history to inform and develop these strategies.
The initiative comprises two distinct strategies. The first is a dynamic protection strategy, which is structured to be net long Vix futures. The second is a carry-oriented systematic macro strategy, designed to be net short volatility.