7. Chris Cole: Long Volatility Strategies, George Lucas and Dennis Rodman
Mutiny Investing Podcast
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Portfolio Insurance and Share Buybacks
In 1987, there was nothing wrong with portfolio insurance. But when suddenly it becomes a dominant institutional strategy, it becomes a source of risk that becomes reflexive. In my 2017 paper, we put that quantity at about $2 trillion worth of short volatility and share buyback strategies a year. Currently these strategies have about 8% impact on the market cap of the S&P. So this really is a snake eating its own tail."
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