The document provides an overview of Harvest Volatility Management's Collateral Yield Enhancement Strategy (CYES), highlighting its features, historical performance, and key benefits. CYES is designed to exploit volatility risk premium and time decay properties of option premium by managing short-dated index option spreads. The strategy aims for consistent returns with conservative risk management, and it has shown positive returns in 8 of 10 years with low correlation to the S&P 500.
documents/vol00010-efta01362951-pdf.pdf
{"title":"Collateral Yield Enhancement Strategy (CYES) Overview and Performance","key_people":["Investment Professionals"],"document_type":"tabular","key_locations":["New York, NY"],"document_subtype":"financial report","key_organizations":["Harvest Volatility Management"],"reference_numbers":["EFTA01362951"]}