Effective Volatility Regime

We have developed an investment methodology to identify, on an ex-ante basis, regimes of good and bad volatility for equity markets.  Our approach goes far beyond the concept of low and high volatility regimes.

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Volatility Regime shifts present significant challenges for investors because they cause performance to depart significantly from the ranges implied by long-term averages of means and covariance’s. But regime shifts also present opportunities for gain.

Many academic research demonstrates that managed portfolio that take less risk when volatility is high produce large, positive alphas and increase factor Sharpe ratios by substantial amounts. Please refer to the following academic paper for more informations.

We use our volatility regime signals to increase positions in higher-risk assets/strategies during good volatility regime and invest in lower-risk assets/strategies during bad volatility regime.

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Our investment philosophy is based on the concept of Adaptive Investment Approach. This concept is the name given to the investment strategies that under which investors can constantly adjust their investments to reflect market conditions such as the volatility of investments, the return or the current condition of the market (Bull or Bear).

307 – 4060 St-Laurent Blvd.
Montreal, QC, H2W 1Y9

514-667-8782

kgauvin@openmindcapital.com