Ellerston Portfolio Solutions

Ellerston’s Portfolio Solutions capability partners with institutional investors and sophisticated family offices to address specific portfolio challenges and investment objectives. Drawing on deep expertise across equities, macro, commodities, volatility, derivatives and alternative risk premia, we design and implement tailored solutions that complement investors’ existing portfolios.

Our solutions are built around each investor’s objectives, whether seeking to generate additional alpha, strengthen downside protection, access differentiated sources of return or improve the efficiency of capital deployment.

Our Capability

Ellerston Portfolio Solutions combines systematic investment strategies, derivative overlays and capital-efficient beta implementation to create tailored solutions across four areas: Portable Alpha, Alternative Risk Premia, Long Convexity and Portfolio Protection, and Enhanced Yield.

We provide capital-efficient exposure to major equity markets that can be combined with differentiated alpha strategies designed to enhance returns without materially changing an investor’s strategic beta allocation.

We construct diversified, systematic absolute return strategies that seek to capture structural and behavioural risk premia across equities, rates, FX, commodities and volatility. These strategies are designed to provide liquid, differentiated sources of return with low dependence on traditional market beta and can be deployed independently or as portable alpha overlays.

We design long-convexity and tail-risk solutions intended to provide meaningful protection during periods of market stress while minimising the cost of protection in normal market environments. Our approach combines systematic volatility, relative value and defensive strategies with active risk management to provide capital-efficient portfolio protection.

For wholesale and sophisticated investors, we design solutions targeting enhanced income, tailored to an investor’s return objectives, risk tolerance and liquidity requirements. Across each area, our objective is to combine beta, alpha, diversification and protection in liquid, capital-efficient solutions tailored to each investor’s portfolio and objectives.

Risk Management

Risk management is embedded throughout our investment process, from portfolio construction through to day-to-day management. Risk is assessed both at the individual strategy level and across the total portfolio, with a focus on understanding the underlying sources of exposure rather than relying solely on strategy or asset-class labels.

We evaluate market, volatility, liquidity, concentration and counterparty risks using a combination of factor analysis, stress testing and scenario analysis. Portfolios are constructed to diversify risk across strategies and return drivers, with defined limits applied to individual positions, strategies and aggregate exposures.

Strategies are implemented predominantly through liquid listed and OTC derivatives, with independent pricing and comprehensive risk reporting. Exposures are actively monitored and portfolios are rebalanced as market conditions and underlying risks evolve.

Our objective is not simply to constrain risk, but to understand where it is being taken, ensure it is appropriately rewarded and construct portfolios in which individual strategies provide genuine diversification.

Experienced Investment Team

Ellerston’s Portfolio Solutions capability is led by Vimal Gor and Thomas Ciszewski, who bring extensive global experience across macro investing, volatility, derivatives, absolute return and portfolio management.

The team combines institutional investment expertise with practical experience developing and managing alternative risk premia, equity volatility, dispersion, relative value and capital-efficient portfolio strategies across a broad range of listed and OTC instruments. Their careers span Australia, Asia, the UK and the United States, managing portfolios and complex investment strategies across a wide range of market environments.

This breadth of experience enables the team to take an investment idea from thesis and portfolio design through to implementation, risk management and ongoing oversight, creating tailored solutions to meet specific investor objectives.