Hong Kong-based Prosperity Capital has launched MIL Asia, a volatility break-out strategy that seeks to benefit from elevated levels of uncertainty and volatility in equity markets.
The algorithmic trading model, launched on 1 November, takes long and short positions in index futures and stock baskets across the Asia ex Japan markets. Its system runs a five-factor trading model at present, although more models may be added over time.
Sector and country allocations are derived from a blend of technical and subjective screening. Unlike most long volatility strategies, MIL Asia does not have a linear relationship with volatility. The