Key Takeaways
- • Marex has launched the Marex Crypto Volatility Carry Indices, a two-strategy range of quantitative investment strategy (QIS) indices linked to Bitcoin and Ethereum, designed to give institutional investors systematic exposure to digital asset volatility risk premia.
- • Each index aims to capture the difference between implied and realised volatility through a rules-based approach, using listed options and perpetual futures traded through Coinbase.
- • Marex appointed MSCI, through Compass Financial Technologies, as independent index calculation agent and administrator, providing oversight within a regulated framework.
- • The launch extends Marex's Institutional QIS business into digital assets, targeting both traditional institutions and crypto-native allocators.
Summary
Marex has launched a new range of quantitative investment strategy (QIS) indices linked to Bitcoin and Ethereum, aimed at providing institutional investors with systematic exposure to digital asset volatility risk premia. The Marex Crypto Volatility Carry Indices comprise two strategies, one focused on Bitcoin and the other on Ethereum. Each is designed to capture the difference between implied and realised volatility through a rules-based investment approach.
The indices use listed options and perpetual futures on Bitcoin and Ethereum traded through Coinbase. According to the publisher summary, Marex selected Coinbase for its liquidity, institutional trading infrastructure and capacity to support risk management around the clock. The launch extends strategies traditionally used across established asset classes into cryptocurrency markets, and forms part of Marex's broader expansion of its Institutional QIS business.
Walter Cegarra, Head of Institutional Solutions, Financial Products at Marex, said the firm applied its existing quantitative research, structuring and trading capabilities to develop the systematic strategies for digital assets. The indices are intended to offer an additional source of risk premia for traditional institutional investors and crypto-native allocators seeking diversified exposures.
Marex has appointed MSCI, through Compass Financial Technologies, as independent index calculation agent and administrator, providing oversight of index calculations and publication within a regulated framework. Guillaume Le Fur, Managing Director, Index, at MSCI, said the collaboration would bring established benchmark administration standards to the new indices. Liz Martin, Head of Coinbase Institutional, said the partnership would help extend quantitative strategies to digital asset investors while giving traditional institutions access to crypto markets.
The indices use listed options and perpetual futures on Bitcoin and Ethereum traded through Coinbase. According to the publisher summary, Marex selected Coinbase for its liquidity, institutional trading infrastructure and capacity to support risk management around the clock. The launch extends strategies traditionally used across established asset classes into cryptocurrency markets, and forms part of Marex's broader expansion of its Institutional QIS business.
Walter Cegarra, Head of Institutional Solutions, Financial Products at Marex, said the firm applied its existing quantitative research, structuring and trading capabilities to develop the systematic strategies for digital assets. The indices are intended to offer an additional source of risk premia for traditional institutional investors and crypto-native allocators seeking diversified exposures.
Marex has appointed MSCI, through Compass Financial Technologies, as independent index calculation agent and administrator, providing oversight of index calculations and publication within a regulated framework. Guillaume Le Fur, Managing Director, Index, at MSCI, said the collaboration would bring established benchmark administration standards to the new indices. Liz Martin, Head of Coinbase Institutional, said the partnership would help extend quantitative strategies to digital asset investors while giving traditional institutions access to crypto markets.
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