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Wealth & Finance International

Seeking Risk-Adjusted Returns from Volatility Runestone Capital’s back-tested and proprietary active management models are designed for institutional and private investors seeking risk-adjusted alpha-driven returns. Runestone Capital was founded in London in 2014 and applies quantitative and qualitative volatility-based investment strategies. We interviewed Rune Madsen, one of the Firm’s founders, to learn more about their investment approach, experience and expectations for the volatility-based sector following their success in achieving the exclusive Fund Manager Elite 2017 – UK award.

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unestone Capital Fund Background

In 2011-2012, it became apparent to us that the internally-generated strategies we had developed were our preferred way of managing money and we wanted to start a fund doing this. There was still a huge amount of work to be done before this could happen and in the late part of 2014 we took the leap to make Runestone Capital a reality.

Rasmus Andersen, fellow founder, and myself launched Runestone Capital Fund in May 2015 leveraging our collective 28 years of investment experience. We have worked together since 2008 at Morgan Stanley and Credit Suisse, London. Throughout our career, we’ve been exposed to a wide range of internal and self-created strategies. Professionally, we’ve always aimed to produce investment ideas with great risk/reward characteristics, which has often led to unconventional strategies.

Rasmus Andersen and myself manage the Fund, Greg Sperrazza is the Head of Sales and Marketing in the US. Peter Clarke, the former CEO of Man Group, is a senior advisor to Runestone Capital Ltd and an investor in the Runestone Capital Fund.

In 2009, we started to trade more U.S. Equity Index Volatility both for clients and our own money as it became more liquid. Back then, it was an overlay strategy to other investments. Gradually, we became more systematic in the space and it became a standalone strategy. Since volatility is in constant movement, there are always opportunities for a non-biased volatility fund like ourselves - hence we perceive it to be a perpetual investment opportunity.

What is the Runestone Capital Fund? Runestone Capital Fund is an Absolute Return Fund that aims to generate more than 20% net annualized return over a cycle, regardless of market conditions. The strategy buys or sells U.S. equity index volatility based on statistical probabilities. It has been back tested from January 1st 2006 and been in fund format since 2015. The Fund is not a tail event or a short volatility fund as it is non-biased on being long or short volatility. It is designed to work over diverse market conditions.

Peer Group Comparison

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Wealth & Finance May 2017  
Wealth & Finance May 2017