Ansbacher Investment Management to Launch Pure Equity Index Variance Swap Strategy...

Ansbacher Investment Management to Launch Pure Equity Index Variance Swap Strategy in Q3

NEW YORK--(Business Wire)--
Ansbacher Investment Management, Inc. plans to launch an equity
index variance swap strategy in the third quarter of this year to take
advantage of the persistent overpricing of broad based equity index
volatility. According to Max Ansbacher, President of the firm,
"Variance swaps are a pure play in a space where we already have years
of experience. They offer a way to capture the excess volatility risk
premium which is generated by the hedging activity of the large number
of investors who are long equities."

Equity investors tend to overpay for index puts to insure their
portfolios, driving up index option prices and causing index option
Implied Volatility to consistently exceed subsequent Realized
Volatility. Ansbacher added, "This overestimation, in fact, averages
almost 33% a month and is something we have taken advantage of in our
index option selling programs." Variance swap strategies can be
structured in a systematic way to gain not only exposure to this
premium, but to effectively hedge against the tail risk that is
inherent in being short volatility.

The strategy will be short near term variance swaps on a basket of
domestic and international indexes and will hedge the exposure with
longer-dated forward start swaps. "Interestingly, while there can be
no assurance of future results, our backtesting shows that some of the
best performance from this program comes during large drops in the
equity markets," adds Jason Ungar, a Director at the firm. Contact
Jason Ungar, 212-308-2929, for details.

Ansbacher Investment Management is one of the oldest volatility
trading firms in the U.S. with a track record going back to 1995. In
addition to the variance swap program, Ansbacher offers a low
volatility, market neutral, index option writing strategy, and active
programs benchmarked to the CBOE Standard & Poor's BXM and PUT
indexes.

Ansbacher Investment Management, Inc.
Jason Ungar, 212-308-2929
ju@ansbacherusa.com

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