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Alternative Market Briefing

Volatility manager re-emerges with all-weather strategy

Monday, May 02, 2022

Bailey McCann, Opalesque New York for New Managers:

A volatility manager has returned to the market with a new strategy that builds on his prior experience. Florida-based Warshaw Asset Management is offering an all-weather volatility strategy within a separately managed account through a partnership with Sciens Asset Management.

The Sciens Warshaw Diversified Vol Funds are managed by William Warshaw and use relative value and mean reversion-based volatility trading to capture opportunities from dislocations in implied and realized volatility. The approach is based on a strategy Warshaw first implemented when he was at Spear, Leeds & Kellogg. The funds offer several variations including long volatility, realized volatility, short volatility, and portfolio hedging and tails.

"The opportunity set in volatility is significant, best since the late '90's," Warshaw tells Opalesque New Managers. "We're in a period now of extensive uncertainty both on a macro, fundamental, and a quantitative basis. Our strategy is an all-weather approach that both buys and sells volatility - and there are opportunities to do both right now."

The investment team looks for quantitative, fundamental, and macro catalysts to generate its trading ideas. The strategy also tries to avoid concentrated positions. By focusing on broad diversification, Warshaw says, the resulting performance is largely unco......................

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