Devin Anderson – Strategy versus Structure in Tail Hedging (S6E14)
Flirting with Models
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How to Manage Market Exposure in a Fund
Most investors don't really understand in most cases what the risk actually is. They think of them as being long convexity products, but Ron Israelov has written about this and spoken about this a number of times. You can end up with situations where the hedge equity mutual fund rolls their exposure. The market goes up gets close to the short calls that they're long. And now let's say from there now the market goes down? Well, they're actually getting longer the market as it's falling. That is negative convexity. But at the same time, if you're hiring someone for a risk mitigating strategy, there shouldn't be paths where the strategy displays some negative convex
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