Black-Swan-Proof by Design
Most investing strategies fail during for the same reason: they’re built for normal days, not black swan events. Markets spend years looking “normal,” then a rare, violent event wipes out months of gains.
Why Traditional Approaches Fail in Tail Events
Conventional strategies encounter three structural issues during black swans:
Diversification assumptions collapse
Correlations rise sharply during stress events. Diversification across equities, factors, and even asset classes becomes ineffective precisely when protection is required.
Position sizing is anchored to low-volatility regimes
Many strategies size positions based on trailing volatility or standard deviation measures. When stress arrives abruptly, these position sizes become destabilizing.
Hedging is reactive rather than structural
Most managers add hedges after markets begin to fall, or they maintain persistent hedges that bleed capital during normal periods.
What makes CI Volatility different
CI Volatility was designed from the beginning to operate under a different premise: that tail events are not anomalies but structural features of modern markets. Volatility clusters, term structure dislocations, and liquidity vacuums occur with regularity, and any process that ignores these dynamics exposes investors to significant losses.
CI Volatility approaches this problem by embedding tail-event sensitivity directly into the architecture of the strategy. The goal is not to predict catalysts but to identify the market’s early structural shifts that reliably precede large volatility expansions. This allows the strategy to adjust positioning before stress becomes visible to the broader market.
If your edge disappears during market crashes, it isn’t an edge.
CI Volatility treats volatility itself as the primary information source. Across more than 9,000 trading days of research covering VIX, VVIX, the VX futures curve, and SPX intraday behaviour, one finding is consistent: markets tend to exhibit identifiable stress signatures well before major dislocations occur.
The strategy’s design is therefore less about forecasting and more about responding to measurable deviations from normal functioning.