Improving the risk-return profile
In a world where markets are uncertain yet investors crave certainty, RJA offers investment returns that can be customized to specific needs. Hedging strategies that offer precision in their payoffs are typically too expensive to be practical. We develop more efficient hedging strategies in which low cost is an important consideration.
Our goal is to offer a high level of service and expertise by establishing in-depth relationships with each client in order to best understand their situation, preferences and risk tolerances. Using our expertise in the equity index option markets, option portfolio construction, analytics, and trading, we structure and implement individually tailored risk management programs.
The solutions we develop are based on sophisticated quantitative analysis and our extensive experience in investment management. In short, we develop customized solutions which better meet the business needs of our clients.
Constructing Overlay Strategies
The key element of our investment process is strategy construction. The client provides the profile of investment returns (the convexity) they would like to achieve for a range of given market movements. We model the cost of achieving this profile and also the range of model prediction errors (MPE’s) one might reasonably expect in a bootstrap simulation, allowing us to identify the best equity index option overlay for each situation.
Using Derivative Markets
We construct equity index option portfolios with an estimated investment payoff at low cost, making best use of the implied volatility surface over a wide range of strikes and tenors. We offer both Over-The-Counter (OTC) and Exchange Traded solutions, as there are benefits in each approach. We work closely with our clients to determine which execution method will best serve their needs.