Goldman: Don't Hate On Short Volatility Strategies

Short volatility strategies have often been thrashed by more “traditional” quantitative asset managers as a “fat tail” strategy that contained significant hidden risk. But over the past year, that fat tail has occurred primarily in the positive returns department. A recent Goldman Sachs Options Research piece notes that one “short vol” strategy, as the concept is epistemic ally known, netted 197% over the past year. This raises the question: Is selling volatility a viable strategy? Or, as Goldman questions in the title of its June 28 piece: “Are Volatility Selling Strategies Crowded?”

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Short volatility strategies: Deceptively calm and predictable or nightmare during market crash?

For some inside the systematic portfolio management community,...