Marex Group Limited, a diversified global financial services platform providing market access, infrastructure services and essential liquidity to clients across commodities and financial markets, announced the launch of the first Institutional Quantitative Investment Strategies (QIS) indices on digital assets, with the introduction of its Marex Crypto Volatility Carry Indices.

In line with Marex’s focus on bridging traditional finance and digital assets, the indices form part of the firm’s growing Institutional QIS offering, focused on asset classes and risk premia where Marex can draw on its specialist market access, quantitative, structuring and trading capabilities.

The first family is now live and comprises two indices, one focused on Bitcoin and the other on Ethereum. The strategies are designed to harvest the risk premium between implied and realised volatility through a systematic, rules-based approach.

Walter Cegarra, Head of Institutional Solutions, Financial Products at Marex, said:

“Working together with our Structuring, Quant and Trading teams, we have applied the same R&D and implementation rigor which defines Institutional QIS to the crypto asset class. This resulted in bringing a brand new and diversifying risk premia to the traditional institutional and the crypto native investor communities.”

For its Crypto Volatility Carry Indices, Marex uses listed options and perpetual futures directly on Bitcoin and Ethereum available through Coinbase. Marex selected the exchange for its institutional-grade infrastructure, liquidity and ability to support risk management of the indices on a 24/7 basis.

Liz Martin, Head of Coinbase Institutional at Coinbase, said:

“We are very happy to be powering Marex’s innovative QIS offering and help bring QIS to crypto natives and digital assets to traditional institutional investors, through of Marex as a counterparty.”

Marex has also selected MSCI, through Compass Financial Technologies, to act as the independent index calculation agent and index administrator, drawing on Compass’ track record in implementing, calculating and publishing indices within a regulated framework.

Guillaume Le Fur, Managing Director, Index, at MSCI, added:

“Building on our long history in the QIS space and our previous work with Marex, we are proud to be bringing the rigour of a benchmark administrator to  this innovative offering.”

The launch builds on Marex’s broader Institutional QIS offering, which spans across asset classes and risk premia where the firm’s specialist capabilities can add value.

Source: Marex