In my recent research I have focused on risk management. More precisely, in the post-crisis “risk on risk off” approaches seen in the industry, there is an additional component that I would call “ROVO” – Return Optimization around VOlatility.

Volatility considerations, both for macro issues as well as for portfolio construction and asset allocation, has seen greater attention. One of the latest examples of this focus is Natixis Global Asset Management, which this week unveiled a 32-people volatility management and structured product unit, called “Seeyond“.

French managers of course for a long time have had an interest and expertise in quant management, VAR (remember Credit Agricole’s popular fund series roughly 2004-2007), and structured products (recall the retail focus of French banks on CGFs roughly 2001-2004).

Running some $20 billion in assets in a variety of volatility structures (long/short, flexible asset allocation, active vol, et al), the NGAM group focuses across retail and institutional channels and has four areas of expertise – structured beta & guarantee, smart beta, hedged beta, and flexible beta & volatility.

Stay tuned on others to follow suit.

Welcome to ROVO.