Insights
January 2025
THE END OF HISTORY ILLUSION
In January 2025, as markets priced in stability despite extreme crowding and record valuations, our CIO Alexis Maubourguet and CEO Clément Mary-Dauphin examined the widening gap between risk perception and reality in our Turn of the Year Report 2025.
While macro and market imbalances quietly compounded—through overstretched sentiment, passive-driven positioning, and eroding liquidity—volatility and correlations remained subdued. This report explores how the illusion of permanence shaped investor behaviour in 2024, and why real diversification and asymmetry are more urgent than ever to navigate a market defined by fragility, not resilience.
July 2024
RISK PREMIA CYCLES
In July 2024, with most market signals flashing complacency, our CIO Alexis Maubourguet and CEO Clément Mary-Dauphin took a step back to map the current risk premia landscape through the lens of derivatives.
This white paper presents a comprehensive framework for analyzing volatility, convexity, and correlation across asset classes. Our findings reveal an environment where nearly every key market parameter has compressed to historic lows—suggesting a striking uniformity in risk pricing. The notable outlier? U.S. equity convexity, which remains deeply elevated, still anchored in the crisis quadrant, a lingering aftershock of the COVID-era market collapse.
In a market shaped by unsustainable dispersion, technical flows, and rising systemic risk, this piece challenges investors to rethink portfolio construction and rediscover true diversification. It’s a timely reflection on how cycles evolve—and what happens when risk premia run out of room to compress.
January 2024
THE COMPRESSION PARADOX: LESSONS FROM A LOW-VOLATILITY YEAR
In January 2024, as volatility collapsed despite mounting macroeconomic uncertainty, our CIO Alexis Maubourguet and CEO Clément Mary-Dauphin reflected on a year of dislocations in our Turn of the Year Report 2024.
While macro volatility surged to crisis-era levels, equity markets remained remarkably calm — a disconnect that reshaped how we think about risk, positioning, and opportunity. This report explores the implications of suppressed volatility, the rise of technical flows, and the lessons we carried into 2024 to navigate a market shaped by both complacency and latent fragility.
March 2023
March 2023
HOW RISKY ARE ZERO-DAY-TO-EXPIRY (0DTE) OPTIONS?
In March 2023, as trading volumes in 0DTE (zero-day-to-expiry) options surged to dominate U.S. equity derivatives, our portfolio managers Alexis Maubourguet and Clément Mary-Dauphin investigated whether this explosive growth posed systemic risk to markets.
While comparisons to the 2018 “Volmageddon” abound, this paper argues that the current 0DTE craze—driven by directional retail flows and balanced by systematic volatility sellers—lacks the structural buildup that caused prior shocks. With no inventory accumulation, limited gamma exposure, and deeply liquid underlying instruments, the report concludes that 0DTE options may amplify intraday moves, but are unlikely to trigger a broader volatility crisis.
Instead of fear, the focus should be on understanding who trades, how positions evolve, and why this phenomenon reflects a deeper transformation in market microstructure.
EQUITY-BOND CORRELATIONS: WAS 2022 REALLY ANOMALY?
In 2022, both equities and bonds suffered significant losses, casting doubt on the reliability of the traditional 60/40 portfolio and the assumption of consistently negative stock-bond correlation.
While daily returns often exhibit inverse movements, historical data show that equities and bonds have moved in the same direction in over two-thirds of years since the 1980s. When adjusted for inflation, both asset classes delivered negative real returns in 15 of the past 95 years—making 2022 unusual, but not exceptional.
Rather than treating such outcomes as anomalies, this paper argues for a more robust approach to diversification. Relying solely on passive exposure to broad market betas is insufficient; instead, incorporating genuinely uncorrelated strategies—such as macro, quantitative, or relative value hedge funds—can strengthen portfolios against simultaneous drawdowns.