Our expertise | Overlay & Customised Portfolio Solutions

HIGHLIGHTS

ELLIPSIS OPTIMAL SOLUTIONS- PA BALANCED

Between alternative actions & focus on climate transition

A solution based on a robust and proven management process over the last 10 years.

After more than 5 years of track record, Ellipsis AM is repositioning its Alternative UCITS - Equity Hedge fund. It aims to deliver absolute and decorrelated performance over the medium term, through diversified exposure to different risk premia: equity, volatility and convexity.

It also offers a thematic focus on the climate transition and the Paris agreements within the investment strategy via a majority exposure to the Paris Aligned Benchmark (PAB) and Climate Transition Benchmark (CTB).

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WHY WE’RE HERE: TO ADDRESS OUR CLIENTS’ NEEDS

The Overlay & Customised Portfolio Solutions desk produces solutions that meet our clients’ needs and constraints. Our capabilities in listed derivatives and options take a top-down approach with our priority placed on quantitative processes and a discretionary approach.

We stand out in our ability to design and manage bespoke solutions that address investors’ individual concerns. Our team manages various open-ended funds and tailored offers (mandates, discretionary management and dedicated funds) that are adjusted to each investor’s specific needs and feature customised client service.

The desk also specialises in multi-asset class risk allocation and the use of listed derivatives. The team develops strategies through optional derivatives aligned with an analysis of the global macroeconomic context. Our management team focuses on managing risks and optimising the risk-reward equation.

14 years

of capability

1,3 Bn

euros of AUM*

12+

Discretionary overlay mandates

Source : Ellipsis AM – December 31, 2022

We believe that transparency translates into performance.

We specialise in finding liquid solutions that provide our clients with greater DIVERSIFICATION and CONVEXITY and higher RETURNS across a range of asset classes.
Alexandre Ryo
Head of the team development

Strengths

ACCESS A CAPABILITY USUALLY RESERVED FOR HEDGE FUNDS

COMBINE DERIVATIVES ALLOCATION WITH MODELLING CAPABILITIES

PROVIDE DISCRETIONARY OFFERS THAT ADD TO RETURNS & REDUCE HEDGING COSTS

OFFER SOLUTIONS FOCUSED ON LIQUIDITY, TRANSPARENCY AND UP-CLOSE CLIENT SERVICE

DEVELOP SYSTEMATIC DERIVATIVES STRATEGIES THAT COMPLY WITH INVESTMENT CONSTRAINTS

see our associate funds

Source : Ellipsis AM – 30/06/2022

OVERLAY & CUSTOMISED PORTFOLIO SOLUTIONS DIVISION

An experienced management team on risk allocation and derivatives

Alexandre RYO

Head of the team development

After graduating from ESIEA (Ecole Supérieure d'Informatique, d'Electronique et d'Automatisme) and a Master's degree in Finance from ESSEC, he joined the Exane group in 2012 as an assistant trader on index volatility. He joined Ellipsis AM in 2013 as fund manager. From 2015, he developed the overlay expertise through the implementation of mandates for European institutional clients. He becomes head of the development of the pôle Overlay & Customised Portfolio Solutions division in 2021.

Nicolas BLANC

Head of Allocation & Portfolio Manager

A graduate of ENS Saint-Cloud and ENSAE, he was successively Head of Equity Derivatives Research at CAI Chevreux for 4 years, Head of Arbitrage Risk Research at Kepler Securities for 2 years, and then Head of BNP Paribas Equity Derivatives Research. In 2006, he created a multi-strategy hedge fund in partnership with BNP Paribas. He joined Exane Derivatives in 2010 as Head of Institutional Research, then Ellipsis AM in 2012 as Head of Allocation, in charge of macro analysis. He is now part of the Overlay & Customised Portfolio Solutions division among which he manages multi-credit allocation fund of funds and mandates.

Pierre GALLICE

Senior Portfolio Manager,
Overlay & Volatility

After graduating from Epita and with a Master's in technical financial from ESSEC, Pierre joined CIC in 2007, spending 14 years in own-account index derivatives and equities trading. He specialised firstly in the US market for 8 years, before becoming head of systematic strategies for global index derivatives and equities as of 2016. He joined the Ellipsis AM Overlay & Customised Portfolio Solutions division in June 2021 as senior manager of funds and mandates.

Manel DE LAFORCADE

Head of Structured Funds, Senior Portfolio Manager

Graduated from “Ecole Centrale de Paris” and from Laure-Elie master in Paris 7, Manel started in 2011 in Volatility Trading at Société Générale and then in Inflation Trading at Natixis, subsequently at BNP Paribas in equity index structuring. In 2015, she joined LFIS Capital (formerly La Française Investment Solutions) as a portfolio manager to develop tailor made solutions (structured product funds, equity hedged funds, BtB cash enhancement funds), she was also responsible for the cross asset Volatility Carry strategy within Premia funds. In 2022, she became Head of Solutions & Dedicated Funds. She joined Ellipsis AM's Overlay & Customised Portfolio Solutions division in July 2023 as Head of Structured funds.

histoRY

2022

Reorganization of the range: Optimal Solutions & Optimal Allocation.

2021

Strong growth in assets under management and team strengthening.

2019

Launch of an Overlay China & Emerging mandate.

2018

Launch of an Overlay Global mandate.

BESPOKE SOLUTIONS

1 HEDGING
TAIL RISK

Cushions steep drops by setting up tail-risk hedges.

Targeting Solvency II-regulated institutional investors.

2 HEDGING
long vol

Limits a portfolio’s volatility by using hedging options.

Provides a stable derivatives profile that reduces volatility and drawdowns.

3 yield enhancement

Implements short-volatility strategies with the goal of obtaining additional yield within a portfolio.

Provides a financing for systematic hedging.

4 total
return

Creates derivatives-based strategies under constraints of minimum capital consumption and a pre-set risk profile.

Provides a market-decorrelated performance that is diversifying and liquid.

THEY TRUST US

Overlay Solutions Disclaimer: It aims to reduce the risks on a given portfolio without fully eliminating them while aiming to provide no guarantee or protection of the portfolio, which therefore remains exposed to the risk of capital loss. This solution is also particularly exposed to a model risk linked to the implementation of the main objective of risk reduction, which is based on a systematic principle. There is a risk that this model is not efficient. Finally, in addition to the specific risks associated with the existing portfolio, this solution. Given that the hedging exists, the potential yield could be lower due to the impact of costs associated with hedging and the fact that the portfolio may only partially participate in the increase in the event of a market rebound.

OVERLAY & CUSTOMISED PORTFOLIO SOLUTIONS