Goldman: Don't Hate On Short Volatility Strategies

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Mark Melin
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Updated on

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?” [dalio] Short volatility strategies: Deceptively calm and predictable…

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Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.

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