Strategies
Strategies
Overview
Vega Swap investment philosophy is based on the following principles, built on decades of research and experience. By applying these principles, we seek to deliver sustainable, long-term value for our investors.
- Identify and extract the structural dislocations within the marketplace that have a known alpha factor.
- Work hard to extract those dislocations, leveraging the infrastructure that we built.
Strategies
Derivatives
VegaSwap’s primary investment strategy is centered around global derivatives and volatility trading. Our strategy seeks to capitalize on perceived inefficiencies in the pricing of volatility within equities, fixed income, currencies, credit and commodities in the US, European, and Asian derivatives markets. Volatility products are also traded alongside other relative value opportunities often directly related to market volatility. We seek to extract alpha and non correlated returns by dynamically employing a mix of Risk-On strategies during stable market conditions, and Risk-Off strategies designed for markets that are more volatile. By utilizing a mix of these strategies, and maintaining a flexible and liquid portfolio, VegaSwap seeks to take advantage of varying market environments and create diversification.
Strategies
Systematic Global Macro
This strategy conducts statistical arbitrage and pattern recognition with an average holding period of about 4 hours.
Strategies
Fixed Income
This strategy conducts fixed income arbitrage across global government interest rate swap and swaption markets, including the US, Europe, and Asia. Interest Rate Derivatives on Swap Exchange Facilities (SEFs) constitute a significant part of the strategy. It involves identifying mispricing across the global Risk-Free Rate (RFR) based swap curves and executing across multiple SEFs.
