​Daily Wrap – Nomura Launches Equity Fund, CalPERS To Change Risk Allocations

In today’s coverage, Nomura has launched the Equity Volatility Risk Premium UCITS Fund, which offers investors access to the performance of a portfolio of equity volatility investments on the S&P 500 and short-term USD interest rates. The fund’s strategy involves capturing the volatility risk premium of the S&P 500—the difference between implied and realized volatilities in the index. In the U.S., CalPERS is looking to change its risk mitigation strategies in a bid to reduce the overall volatility in its portfolios, which will dictate asset allocations made by the investment office.