Has anyone had any success with strategies that have a positive downside exposure(to events like Aug'15, Jan'16 , Feb'18 etc.) and simultaneously have a net positive long term expectancy?
Long tail risk and positive expectancy strategies
- Thread starter AlphaTango
- Start date
Robert Morse
Sponsor
From the side of an investor or allocator, the holy grail would be to find this type of strategy that would break even or make very small positive returns during up markets and have outside returns during large drops. I have not found one yet,
Thanks Srinir.
I'm assuming that's in delta 1 space. What's your experience using trend following in options? E.g. would you bias your flies in the direction of trend?
I'm assuming that's in delta 1 space. What's your experience using trend following in options? E.g. would you bias your flies in the direction of trend?
Robert Morse
Sponsor
Sorry, but I have to disagree. 2013 was a banner year for Trend following CTAs. The market was way up. I don't see the correlation to making money when the market reverses a trend.
Robert Morse
Sponsor
This term generally refers to option desks that take no directional plays and only arb the banking function of where they can borrow hard to borrow stocks vs the general institutional client. Delta one trading would not benefit from a down market. They trade reversal/conversion spreads hedged with the stock.
There are some funds, like Artemis capital, that maintain a net long vol exposure with zero/positive carry in low vol environments. This report might be helpful: http://www.artemiscm.com/s/Artemis_Volatility-and-the-Alchemy-of-Risk_2017-bp5g.pdf
cheers oldmonk.
Robert Morse
Sponsor
Very cool logo. Do you have their tear sheet with monthly returns?
I have no idea of their returns. Just found the report interesting.