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Focused.  Intelligent.  Performance.

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Vaucluse Partners is a Registered Investment Advisor focused on the intersection of growth in passive investing, volatility as an asset class, and quantitative strategies. 

 

Our founder, Peter J. Rothschild, has a PhD in High Energy Nuclear Physics from MIT and over 40 patents in the detection of explosives, weapons and drugs using advanced x-ray imaging techniques. Peter is an expert in the detection of weak signals in noisy data. Vaucluse's proprietary genetic algorithms are designed to provide an evolutionary approach to systematic trading and to generate top quartile risk adjusted returns in a variety of market conditions.

AlphaVol Strategy

The Vaucluse AlphaVol Strategy is an actively managed portfolio that utilizes an algorithmic approach to identify opportune moments to establish a short volatility position. The Strategy harvests Volatility Risk Premium by quantifying the state of contango in the VIX futures market, and by assessing the probability of a favorable mean reversion of the VIX term structure following a period of recent market turmoil.    

The Strategy places an emphasis on risk management by employing multiple exit signals if market conditions deteriorate, including decreasing levels of contango of the VIX Futures, and increased volatility of the VIX Index itself. The Strategy is unique by averaging a holding period of approximately ten days.

AlphaVol Long Bias Strategy

The Vaucluse AlphaVol Long Bias Strategy is an aggressive, algorithmic investment approach designed for investors looking to benefit from large, periodic changes in market volatility. The Strategy analyzes the shape of the VIX Futures term structure and rapidly rebalances a portfolio of long and short volatility Exchange Traded Products (ETPs) or takes a position in leveraged treasury bond ETPs when signals warrant.

 

The Strategy is particularly sensitive to implied stock market volatility over the coming nine days to maximize its potential of capturing shorter volatility swings. Additionally, during periods of weak market consensus, the Strategy can hold large cash positions of up to 100%.