Vol Harvesting, With Downside Momentum, Gets New Index Twist

Stop us if you’ve heard this one before: “There’s a new volatility-harvesting strategy…” This one, however, really is different, and it came about as a result of a novel buyside/sellside partnership. Read on to hear how La Financiere Constance and BNP Paribas constructed a new kind of volatility play, in index format. Elinor Comlay reports.