3 ms·
I'd really like a better understanding about what these active long volatility funds do. It seems a lot more involved than just buying rolling out of the money
by erentz 6y ago
I'd really like a better understanding about what these active long volatility funds do. It seems a lot more involved than just buying rolling out of the money puts, which sounds like it would be an expensive/inefficient insurance. Another fund example is Artemis Capital which have a number of papers I've read over the past month. [1]
[1] https://www.artemiscm.com/welcome#research https://www.artemiscm.com/welcome#research
- SkyMarshal 6y agoSome of the things required to manage a tail risk fund are: 1. Finding mispriced way-out-of-the-money puts, probably a full-time job in and of itself and requiring savvy, if not also sophisticated, price models 2. The other half of the strategy is to mitigate the losses on the way OotM puts by simultaneously selling close-to-the-money and in-the-money options. I don’t recall the details but Taleb has mentioned this in the past. There’s a lot of work in designing, managing and executing those too.