The document provides an update on the Collateral Yield Enhancement Strategy (CYES) as of December 31, 2017, managed by Harvest Volatility Management, LLC. It includes firm overview, strategy description, historical performance, and monthly return distribution. The strategy focuses on exploiting volatility risk premium and time decay properties of option premium by managing a portfolio of short-dated index option spreads on the S&P500 index.
documents/vol00010-efta01363046-pdf.pdf
{"title":"Collateral Yield Enhancement Strategy (CYES) Investor Update","document_date":"2017-12-31","document_type":"tabular","key_locations":["420 Lexington Avenue, Suite 2520, New York, NY 10170"],"document_subtype":"Investor Update","key_organizations":["Harvest Volatility Management, LLC"],"reference_numbers":["DB-SDNY-0052893","SDNY_GM_00199077"]}