Portfolio construction
But apart from avoiding left tail Black Swan risks more structurally, the strategy philosophy is to create a high portfolio Sharpe by combining lowly correlated strategies that generally have low to moderate standalone Sharpes. “We do not want negative Sharpe ratios but are not maximizing standalone Sharpes. Individual Sharpe ratios range from 0.3 to 0.6,” says Dolisi.
The strategy weights are partly based on industry asset weights in those strategies that can be replicated in a quantitative liquid structure, though the asset class beta risk constraints are lower than those sometimes observed in broad hedge fund indices. There are some upper bounds such as 30% equity delta, and some hedge fund indices have exhibited much higher levels of equity correlation over some periods. Credit should not exceed 20% of the volatility risk budget; incidentally, the monthly reporting overstates the pure credit allocation since collateral underlying swaps are also grouped under this umbrella.
Strategy rebalancing examples
Turnover has ranged between 15% and 30% per year and both active decisions and rule-based stop losses can lead to divergence from the liquid quantitative asset-based weightings. “For example, the fund has sometimes historically been overweight of trend following CTAs, but has in 2025 gone underweight of them, and instead overweighted other strategies including volatility arbitrage and commodity arbitrage,” says Dolisi.
“Credit arbitrage, including convertibles and equities, is more interesting when credit spreads are wider,” says Dolisi. Credit has historically included emerging markets but not ABS. “We have not added asset-backed securities because we could not find a good investment bank swap strategy,” he points out.
The equity long/short allocation varies the mix between in-house net long equity long/short and equity market neutral. There are also some external allocations to equity market neutral. “Equity beta can vary with the balance between equity long/short and equity market neutral strategies,” says Dolisi.
There is also potential to express active views in areas such as equity dispersion where the fund generated good returns in 2022 but then took a break for two years. Historically, strategies around dispersion and correlation have been overweighted but this is also sensitive to the opportunity set. Timing allocations to dispersion are partly based on the level of implied correlation. “If implied correlation goes too low, we see an unfavourable risk reward because it would take a massive event for implied correlation to go back to 50 or 60 from 30. The dispersion allocation peaked at 4% of the fund but this bucket does not always need to be populated, says managing director and co-portfolio manager, Hicham Qasmi.
Commodity carry includes two different strategies: “Commodity index rolls have been diversified across five approaches using different parameters to improve Sharpe ratios. The outperformance of this strategy pushed it over the target weight and profits were taken, bringing the weighting back in line with target,” points out Dolisi.
Risk reduction stop outs
VIA runs a long only product called VIA Ladder Premium that follows a contrarian rebalancing rule adding to equities on a drawdown, but for the absolute return VIA Liquid Alternative negative performance will sometimes force exposure reductions.
The VIA Liquid Alternative strategy should not lose more than 10% over a 12-month lookback, either at the individual strategy level or the overall fund level. A formula gradually reduces exposure to strategies that are underperforming.
A staggered risk reduction rule has in recent years led the fund to greatly reduce risk arbitrage, trend following CTAs, market neutral and FX.
Equity dividends are also a strategy that has been opportunistically timed to a degree, though risk management controls during the Covid crisis prevented the strategy from adding to dividends or merger arbitrage.
During the Covid crisis exposure was reduced from about 130% gross exposure to 50% gross exposure, before being steadily rebuilt over the next year or so.
Distribution
Eric Sturdza Group in Geneva helped to launch the firm and assisted with distribution in the early years. Now a new strategic partnership with Capital Management France, one of the biggest structured product brokers in France, headed by some of Dolisi’s former colleagues from SG and BNPP, is one distribution route.
Meanwhile another tie-up with O Capital IS could raise some assets in the Middle East and in France’s former colony, Morocco, where the French language is still widely used in business, government and education. “Morocco is a niche market where overseas allocations are limited to 10% for pension funds and insurers,” points out Dolisi.
Currently the main end markets are France, Monaco, Switzerland, Luxembourg and Germany. “But we have ambitions to market more broadly. The short-term target is raising EUR 1 billion and medium-term EUR 5 billion, which would match the level we managed at BNP Paribas,” says Dolisi.
