Investing with the protection of a dependable, low-cost portfolio tail hedge against the threat of exogenous events such as the 1987 crash, 2008 credit crisis, 2011 European crisis, and the Covid-19 crisis is especially imperative when zero interest rate environments make bonds ineffective as a hedge.

The IPS Volatility Hedge enables investing with the protection of a hedge with defined cost and has proven to be extremely effective during market crashes.  The graph below shows how a de minimis allocation to the IPS Volatility Hedge in a 100% long portfolio would have resulted in a gain of 8.2% when the market was down -33% at its low point in March 2020.

The graph above shows how just a small allocation of the IPS Volatility Hedge into a traditional 60/40 portfolio can dramatically hedge downside risk with almost no carry cost.

How can the IPS Volatility Hedge be so effective? By allocating VIX call options along the horizonal skew, we are able to minimize the roll cost when the term structure moves from Contango to Backwardation.

The information on this website should not be misconstrued as an offer to buy or sell, or a solicitation to buy or sell securities.  Any historical, non-hypothetical performance contained within this website is representative of net-of-fees performance.  2011 ARS performance represents a non-fee paying account and 2011 returns are gross of fees.  The past performance of any investment(s) does not necessarily indicate the future performance of any investment(s).  No client, current or prospective, should assume the future performance of their investments will be profitable based on historical performance.  Any backtest charts and data presented are purely hypothetical and do not represent the performance of accounts managed by IPS Strategic Capital.  The results were obtained by applying a rules-based investment process to historical data.  Hypothetical performance is not indicative of the performance of investment returns in the future.  The results shown here are strictly for informational and educational purposes.  All investments have the potential for profit and the potential risk of loss.  Changes in investment strategies, contributions, or withdrawals may cause the performance results of one’s portfolio to differ materially from the reported composite performance.  Different types of investments involve varying degrees of risk, and there can be no assurance that any specific investment will either be suitable or profitable for a client’s portfolio.  One should always consult an investment advisor before making any investment decisions.

Live Market Data
  • Loading stock data...