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VIVE LA VÉRITÉ. VIVE LA VOLATILITÉ.


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VIVE LA VÉRITÉ. VIVE LA VOLATILITÉ.


Artemis Capital Management L.P. is an investment management and research firm that employs systematic, quantitative, and behavioral based trading models to generate returns from market volatility. The flagship Artemis Vega Fund L.P. seeks to generate crisis-alpha from volatility derivatives and profit from periods of volatility dislocation and systemic crisis.

Artemis is intended to provide exposure to the left and right sides of the return distribution that, when combined with traditional asset beta, can improve the risk adjusted performance of an institutional portfolio. Artemis Capital Management L.P. and Artemis Capital Advisers L.P. were founded and associated portfolios managed by Christopher Cole, CFA. 


Artemis Capital Management is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator (“CPO”) and is a member of the National Futures Association (“NFA”).


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Research


Latest research papers published by Artemis Capital Management.

Research


Latest research papers published by Artemis Capital Management.

Volatility and the Allegory of the Prisoner’s Dilemma: 

False Peace, Moral Hazard and, Shadow convexity 

Dorothy Thompson once said “peace is not the absence of conflict”. Never forget there is a form of peace and stability reinforced by a foundation of underlying volatility. Game theorists call this the paradox of the Prisoner’s Dilemma, and it describes a dangerously fragile equilibrium achieved only through brutal competition. The Prisoner’s Dilemma is the most important paradigm for understanding shadow risk in modern financial markets at the pinnacle of a multi-generational debt cycle unparalleled in the history of finance. Global Capitalism is trapped in its own Prisoner’s Dilemma; forty four years after the end of the Bretton Woods System global central banks have manipulated the cost of risk in a competition of devaluation leading to a dangerous build up in debt and leverage, lower risk premiums, income disparity, and greater probability of tail events on both sides of the return distribution. Truth is being suppressed by the tools of money. Market behavior has now fully adapted to the expectation of pre-emptive central bank action to crisis creating a dangerous self-reflexivity and moral hazard. We are nearing the end of a thirty year “monetary super-cycle” that created a “debt super-cycle”, a giant tower of babel in the capitalist system. As markets now fully price the expectation of central bank control we are now only one voltage switch away from the razors edge of risk.  Do not fool yourself - peace is not the absence of conflict – peace can exist on the very edge of volatility.

The next great crash will occur when we collectively realize that the institutions that we trusted to remove risk are actually the source of it. The truth is that global central banks cannot remove extraordinary monetary accommodation without risking a complete collapse of the system, but the longer they wait the more they risk their own credibility, and the worse that inevitable collapse will be. In the Prisoner’s Dilemma, global central banks have set up the greatest volatility trade in history.

To download the full article published in October 2015, click here. Opens in a new window.


Volatility: The Market Price of Uncertainty

CFA Institute Conference Proceedings Quarterly
January 2014 | Vol. 31 | No. 1
The following is the abstract from the article "Volatility: The Market Price of Uncertainty" by Christopher Cole from Artemis Capital Management LLC.

  1. Today’s securities markets are pricing in yesterday’s crash, the known unknown, rather than tomorrow’s unknown unknown. To understand volatility as an asset class is to value the forward expectation of uncertainty, which is as much a function of human psychology as it is an expression of mathematics. Since the financial crisis, the pricing of volatility derivatives has undergone wide-scale changes that reflect classic behavioral biases. Not only is volatility an asset class, but in fact, it may end up being the most important asset class for institutional portfolios over the next decade. A strategy of “crisis alpha,” defined as the strategic acquisition of mispriced volatility, is a powerful way to navigate future uncertainty.

To download the full article published in January 2014, click here. Opens in a new window.


Volatility of an Impossible Object:  -

 RISK, FEAR, AND SAFETY IN GAMES OF PERCEPTION

The following is an excerpt from the research article "Volatility of an Impossible Object: Risk, Fear, and Safety in Games of Perception" from Artemis Capital Management LLC.

The global financial markets walk on the razors edge of empiricism and what you see is not what you think, and what you think may very well be impossible anyway. The impossible object in art is an illustration that highlights the limitations of human perception and is an appropriate construct for our modern capitalist dystopia. Modern financial markets are a game of impossible objects. In a world where global central banks manipulate the cost of risk the mechanics of price discovery have disengaged from reality resulting in paradoxical expressions of value that should not exist according to efficient market theory. Fear and safety are now interchangeable in a speculative and high stakes game of perception. The efficient frontier is now contorted to such a degree that traditional empirical views are no longer relevant.  The volatility of an impossible object is your own changing perception of risk.

To download the full article published on October 4, 2012 click here. Opens in a new window


Volatility at World's End

DEFLATION, HYPERINFLATION AND THE ALCHEMY OF RISK

The following is an excerpt from the research article "Volatility at World’s End: Deflation, Hyperinflation and the Alchemy of Risk" from Artemis Capital Management LLC. Click for PDF Download Opens in a new window

Imagine the world economy as an armada of ships passing through a narrow and dangerous strait leading to the sea of prosperity. Navigating the channel is treacherous for to err too far to one side and your ship plunges off the waterfall of deflation but too close to the other and it burns in the hellfire of inflation. It is said that de-leveraging is a perilous journey and beneath these dark waters are many a sunken economy of lore. Print too little money and we cascade off the waterfall like the Great Depression of the 1930s... print too much and we burn like the Weimar Republic Germany in the 1920s... fail to harness the trade winds and we sink like Japan in the 1990s. On cold nights when the moon is full you can watch these ghost ships making their journey back to hell... they appear to warn us that our resolution to avoid one fate may damn us to the other. Volatility at World's End symbolizes a new paradigm for pricing risk that emerged after the 2008 financial crash and is related to our collective fear of deflation.

To download the full article published on March 30, 2012 click here. Opens in a new window.

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Press


Recent press for Artemis Capital Management

Press


Recent press for Artemis Capital Management

Vol’ is the only asset class
May 15, 2017 Grant's interest rate observer

What Lies Beneath: Volatility in a peaceful world
April 27, 2017  real vision

The fearless market ignores perils ahead
April 18, 2017  Financial times

Unease Grows about bets on MARKET stabILITY
April 9, 2017  Financial times

tAKING THE LONG ROAD WITH VOLATILITY (Subscription required)
February 23, 2017  Real vision tv

fUND'S $600 Million Lost Week Captivates Traders
February 16, 2017  Wall Street Journal

derivatives trader who predicted trump election says important new cycle has begun
January 24, 2017  VALUE WALK

The Volatility Paradox: Calm Markets but Soaring ‘Fear Gauge’ Trading
December 11, 2016  Wall street journal

Small Bets, Huge Payoffs with Chris Cole
November 29, 2016  The Investor's field guide

safety comes at steep prices in options
October 31, 2016  Wall street journal

Volatility Hedge Fund Sees Bull Market in Fear as Bets Jump
SEPTEMBER 29, 2016  Bloomberg

"FROM HUNGER" (subscription required)
September 16, 2016  Grant's Interest rate observer

Volatility Will Drown Investors: Artemis
April 15, 2016  Value Walk

Volatility Traders Have a Big Problem: Themselves
OCTOBER 14, 2015  BLOOMBERG

The shadow convexity risk in the machine (and the VIX)
OCTOBER 13, 2015   FT/ALPHAVILLE

Volatility and the Allegory of the Prisoners' Dilemma
August 26, 2015   The Hedge Fund Journal

Traders Prepare for Stock Volatility 
January 12, 2015  Wall Street Journal

Morning Moneybeat: Where has the Fear Gone?
November 12, 2014 Wall Street Journal

Why the New Shoeshine Boy Trade is Shorting Volatility 
MARCH 6, 2014   FT/ALPHAVILLE

THE RISK BEYOND THE BELTWAY
October 12, 2013  BarRon's

Traders Bet VIX Calm Won’t Last; History Suggests Otherwise
April 1, 2013  Wall Street Journal

Artemis’s Cole is Finding Alpha in Volatility Markets
March 29, 2013  Hedge Fund Review

Investors Finding New Calm in Crises
March 26, 2013   Wall Street Journal

A Powerful Convexity in Short-Term VIX Futures
February 26, 2013   FT/Alphaville

Hedging against Volatility in a Bull Market of Fear w/Christopher Cole!
November 21, 2012  Capital Account with Lauren Lyster

"Fear and loathing 101" (subscription required)
November 2, 2012  grant's interest rate observer

Nobel Prize: The Games Economists Play
October 16, 2012  Sydney Morning Herald

Welcome to the 'Desert of the Real' - A Postmodern Economy
OCTOBER 9, 2012  FT/Alphaville

VIX Contracts at Record as Traders Lock in Stock Gains
September 14, 2012  bloomberg

Tail Spin
SEPTEMBER 4, 2012  institutional investor's alpha

"tHE wRONG TAIL" (SUBSCRIPTION REQUIRED)
May18, 2012  Grant's interest rate observer

CASEY: DIY TAIL RISK MANAGEMENT
APRIL 16, 2012  Futures and Options World

Chris Cole Bloomberg TV Interview / Taking Stock with Pimm Fox (15:40 mark)
April 10, 2012  Zero Hedge

WHEN THE TAIL-EVENT BECOMES THE STANDARD RISK
APRIL 11, 2012  FT/APLHAVILLE

Artemis On Volatility At World's End
APRIL 10, 2012  ZERO HEDGE

Volatility Views 33: The Art of Managing Volatility
December 12, 2011  Volatility Views

Fall of the House of Money: Artemis Capital on How Central Banking Took Over Capital Markets
November 4, 2011  zero hedge

Volatility is Change, and the World is Changing
October 7, 2011  ft/Alphaville

Markets Were Up Today Because They Were Down Yesterday
OCTOBER 7, 2011  DealBreaker

Worries Focus on "Too Big to Fail" Clearers
August 12, 2011  International FInancing Review

Obama Owns this Crisis
AUGUST 9, 2011  Economonitor

Fear Index VIX Up 50%, In Backwardation Confirms Full-Fledged Bear Market
August 8, 2011  Forbes

VIX Curve Implies a "Systemically Important Shock Event"
AUGUST 8, 2011  FT/Alphaville

The Great Rebalancing: How the Outlook for Low Returns and High Volatility Could Change the Future of Asset Allocation
August, 2011  CFA Institute

The New Normal
May 20, 2011  international Financing Review

On Actually Writing the (Currently Implied) Bernanke Put
April 19, 2011  FT/Alphaville

Volatility Skew Disagrees With Fed on the Future of Markets Post-QE2
APRIL 15, 2011  Seeking Alpha

The Great Vega Short - Volatility, Tail Risk, and Sleeping Elephants
January 11, 2011  Zero Hedge

The Fed’s New Wave of Easing Could Help the VIX Rise Higher
October 18, 2010  City A.M.

Musings on a Unified Risk Theory: Correlation, Vol, M3 and Pineapples
OCTOBER 11, 2010  ZeroHedge

 

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Volatility At World's End: Two Decades of Movement in Markets


Volatility At World's End: Two Decades of Movement in Markets


This video was first shown in conjunction with Christopher Cole's speech at the 2012 Global Derivatives and Risk Management Conference in Barcelona, Spain.

"Nobody will deny there is roughness everywhere..." Benoit Mandelbrot

The movement of stock prices has been an obsession for generations of speculators and traders. On a higher level, mathematicians believe that modern markets are an extension of the same fractal beauty found in nature. Visualized, these stock markets may take the shape of a turbulent ocean with waves made of human hopes, dreams, greed and fear.

Merging the world of high-finance and high-art, Artemis Capital Management is proud to present a creative visualization of stock market volatility over the last two decades. "Volatility at World's End: Two Decades of Movement in Markets" is a depiction of real stock market volatility using trading data from 1990 to 2011. The visual are designed from S&P 500 index option data replicating the implied volatility wave (or variance swap curve) extending to an expiration of one year. The front of the volatility wave contains the same data used to calculate the CBOE VIX index. The movement of this wave demonstrates changing trader expectations of the futures stock market volatility. As the wave moves through time, the expected (or implied) volatility surface transforms into a realized volatility surface derived from historical S&P 500 index movement. The transition represents what professional traders call "volatility arbitrage." The color variation in the volatility waves show the volatility-of-volatility or internal movement of the wave. The track underneath the volatility wave represents underlying S&P 500 index prices.

To download the corresponding article, please click here.

 

Concept and Creative Direction by Christopher Cole, CFA.

Visual Animation and Programming By Jayson Haebich.

Featuring the Song "Blood" by Monsieur Adi.

Title Design by Nataliya Vakulenko. 

 

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Careers


Careers


Artemis Capital Management LP selects candidates with a strong interest in global investments and trading with demonstrated talent in computer programming, data science, derivatives valuation, probability theory, and global macroeconomic thinking. 

Artemis is currently hiring for quantitative positions. If you're interested in applying, please take our recruiting exam.

If you are interested in joining the Artemis team, for full-time or internship positions, please e-mail your resume to hr@artemiscm.com

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Contact


CONTACT US:

ARTEMIS CAPITAL MANAGEMENT LP
ARTEMIS VEGA FUND LP 

98 SAN JACINTO, SUITE 370
AUSTIN, TEXAS 78701

T 512-467-4735
F 512-649-1312

info@artemiscm.com

Contact


CONTACT US:

ARTEMIS CAPITAL MANAGEMENT LP
ARTEMIS VEGA FUND LP 

98 SAN JACINTO, SUITE 370
AUSTIN, TEXAS 78701

T 512-467-4735
F 512-649-1312

info@artemiscm.com

 

Artemis Capital Management LP
Artemis Vega Fund LP 

98 San Jacinto Boulevard, Suite 370
Austin, Texas 78701

T 512-467-4735
info@artemiscm.com

 

 


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Disclosure


Disclosure


The content on this website is for information purposes only. This website contains information that is confidential and may constitute non-public information.  None of the information on this website is intended as or constitutes an offer to sell any securities to any person or a solicitation of any person of any offer to purchase any securities. Such an offer or solicitation can only be made by the confidential private placement memoranda relating to the investment vehicles managed by Artemis Capital Management, LLC (the “firm”), which the firm will provide only to qualified offerees. The investment products managed by the firm are open only to investors who are both (i) "accredited investors" as defined in Rule 501(a) of Regulation D promulgated by the U.S. Securities and Exchange Commission (“SEC”) pursuant to the Securities Act of 1933, and (ii) “qualified clients,” as defined in Rule 205-3 promulgated by the SEC pursuant to the investment advisers act of 1940, as amended.  By accessing this information, you are deemed to have represented and warranted to the firm that you satisfy this requirement. Further, prospective investors may not invest in any such products for a period of 30 days after initial qualifying contact, except for those who have already invested or are actively considering an investment. You also agree to contact the firm immediately if there is any change in your qualifying status. No person should rely on any information in this website, but should rely exclusively on the confidential private placement memoranda in making an investment decision.  No investor should invest without undertaking comprehensive due diligence and carefully reviewing the confidential private placement memoranda. The principals of the firm are available to discuss investment opportunities and to answer potential investor questions. The materials on this website have been prepared for informational purposes only and do not constitute financial, legal, tax or any other advice. All information contained herein is provided "as is" and the firm expressly disclaims making any express or implied warranties with respect thereto.  Each investor should consult its own legal and financial advisors about the advisability and suitability of this investment.  The firm reserves the right to terminate, at any time and for any reason, any registered user's access to this website, without giving notice of such termination to the user.  The information presented herein may not be used for any purpose other than the user’s personal and internal business use. All users may not reproduce, modify, copy, alter in any way, distribute, sell, resell, transmit, transfer, license, assign or publish such information.  All information contained herein, including the firm’s logos and trademarks as well as its services, products and investment information or opinions, are proprietary materials. The use of such materials without the express written consent of the firm is strictly prohibited. The unauthorized use of any material on this website may violate various laws and property rights of the firm, including, but not limited to, copyright, trademark, trade secret or patent laws and rights.  PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. No assurance can be given that the firm’s investment objective will be achieved or that an investor will receive a return of all or any portion of his or her investment. Investment results may vary substantially over any given time period.  All investments involve the risk of loss.