Artemis Capital Management L.P. is an investment, research, and technology firm that seeks to transform stock market volatility into opportunity for our clients. The firm employs quantitative, systematic, and behavioral based trading models to fulfill this mission. Artemis strategies provide non-linear exposure to the left and right sides of the return distribution, and when combined with traditional investments, are expected to improve the risk adjusted performance of the institutional portfolio.
Artemis focuses on volatility trading through two private investment vehicles: The flagship Artemis Vega Fund and the Artemis Hedgehog strategy. Artemis Vega and Artemis Hedgehog seek to generate crisis-alpha and profit from periods of volatility dislocation and systemic crisis without the negative losses experienced by more traditional hedging products.
The firm was founded in 2009 by Christopher Cole, CFA following verified and substantial proprietary account gains realized during the 2008 financial crisis.
Artemis Capital Management is registered with the Securities and Exchange Commission (“SEC”) as an Investment Advisor, the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator (“CPO”), and is a member of the National Futures Association (“NFA”).
Latest research papers published by Artemis Capital Management.
Latest research papers published by Artemis Capital Management.
The Ouroboros, a Greek word meaning ‘tail devourer’, is the ancient symbol of a snake consuming its own body in perfect symmetry. In extreme heat, a snake is unable to differentiate its own tail from its prey, and will attack itself, self-cannibalizing until it perishes.
The Ouroboros is a metaphor for the financial alchemy driving the modern Bear Market in Fear. Volatility across asset classes is at multi-generational lows. A dangerous feedback loop now exists between ultra-low interest rates, debt expansion, asset volatility, and financial engineering that allocates risk based on that volatility. Alchemy is the only way to feed our global hunger for yield, until it kills the very system it is nourishing.
The Global Short Volatility trade now represents an estimated $2+ trillion in financial engineering strategies and share buybacks that simultaneously exert influence over, and are influenced by, stock market volatility. Volatility is now an input for risk taking and the source of excess returns in the absence of value. Like a snake blind to the fact it is devouring its own body, the same factors that appear stabilizing can reverse into chaos. The danger is that the multi-trillion-dollar short volatility trade, in all its forms, will contribute to a violent feedback loop of higher volatility resulting in a hyper-crash.
Thirty-years ago to the day we experienced that moment. On October 19th, 1987 markets around the world crashed at record speed, including a -20% loss in the S&P 500 Index, and a spike to over 150% in volatility. In this paper we will argue that rising inflation was the spark that ignited 1987 fire, while computer trading served as explosive nitroglycerin that amplified a normal fire into a cataclysmic conflagration. The multi-trillion-dollar short volatility trade, broadly defined in all its forms, can play a similar role today if inflation forces central banks to raise rates into any financial stress.
There is no such thing as control… there are only probabilities.
To download the full article published in October 2017, click here. Opens in a new window.
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.
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.
To download the full article published in January 2014, click here. Opens in a new window.
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
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.
Recent press for Artemis Capital Management
Recent press for Artemis Capital Management
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.
Artemis is currently open to accredited investors. Please check the SEC definition to see if you qualify: https://www.investor.gov/additional-resources/news-alerts/alerts-bulletins/investor-bulletin-accredited-investors
If you're an accredited investor looking to learn more, please e-mail firstname.lastname@example.org.
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 also 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 email@example.com
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