Tail risk – BSIC | Bocconi Students Investment Club

Tail wind for tail-risk hedge funds

Download PDF Introduction Tail-risk hedging strategies were once again on investors mouths, following the March 2020 drawdowns. April 2020 headlines were dominated by tail-risk hedge funds performance numbers and tenfold returns were not uncommon. By mainly incorporating complex option-based and CDS strategies, the funds look to minimize portfolio drawdowns in Read more…

By BSIC, 5 years27 September 2020 ago

Can the Implied Volatility Surface predict Returns of shorting Puts?

We gave a brief introduction to put writing strategies already earlier this semester. We since thought about possible modifications of such strategies and their effects on return characteristics and return predictability. The positive returns of put writing strategies can be motivated from risk premia, as we show in the first Read more…

By BSIC, 6 years1 December 2019 ago