C3 ("C-cube" for short) is an emerging quantitative manager of alternative volatility and smart beta investment strategies. We focus our normative understanding of sustainable risk premiums on a search for empirically valid opportunities to capture those premiums.
3 million in Volatility Risk Premium strategies as of December 2015
Tracking of equity style indices
Semi-active management of factor-tilt portfolios
Short gamma (volatility risk premium)
The Pareto principle applies to the division of labor between quantitative and qualitative investment management activities
Capital markets are an eco-system of competing opportunities to be compensated for bearing a multitude of economic risks
A sound theoretical understanding is a preferred way to robustify forecasts against the effects of non-stationarities
The information content of most investment edges eventually get diffused to other market agents via trading interactions
The market consensus is the best starting point to obtain a synthesis of the trade-off between returns, risks, and search costs.
Top-down analysis of risk premia calibrated by market consensus
Rigorous statistical simulations incorporating realistic market impact assessment
Specification and justification of the economic rationale underlying risk premia
Advanced statistical analysis – classical or machine learning.
300 Léo-Pariseau bureau 2212
438-384-3219 • firstname.lastname@example.org