151 Trading Strategies

Z Kakushadze, JA Serur - Z. Kakushadze and JA Serur, 2018 - papers.ssrn.com
We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

Pathetic protection: The elusive benefits of protective puts

R Israelov - Available at SSRN 2934538, 2017 - papers.ssrn.com
Conventional wisdom is that put options are effective drawdown protection tools.
Unfortunately, in the typical use case, put options are quite ineffective at reducing …

Tail risk in the cross section of alternative risk premium strategies

N Baltas, B Scherer - The Journal of Portfolio Management, 2018 - pm-research.com
In this article, the authors attempt to get a better understanding of the cross-section of
alternative risk premiums using a multi-asset version of the downside risk capital asset …

[BOOK][B] Souverän investieren mit Indexfonds und ETFs: Wie Privatanleger das Spiel gegen die Finanzbranche gewinnen

G Kommer - 2018 - books.google.com
Gerd Kommer: Die Nummer 1 bei ETFs Seit vielen Jahren überzeugt Dr. Gerd Kommer
immer mehr Sparer und Anleger von den Vorteilen einer Geldanlage in Indexfonds und …

[PDF][PDF] Portfolio protection? It'sa long (term) story…

N McQuinn, A Thapar, D Villalon - The Journal of Portfolio …, 2020 - images.aqr.com
Investors have a natural urge to protect their portfolios from sudden crashes. The authors
argue that investors should instead focus on bad outcomes that unfold over longer periods …

Leveraging defence into offence: enhancing absolute and risk-adjusted equity returns with tail risk management overlays

B Schwalbach, C Auret - Investment Analysts Journal, 2023 - Taylor & Francis
Research has shown that tail risk hedging using explicit option purchases and trend-
following effectively mitigate equity tail risk. This paper demonstrates that these defensive …

Which Index Options Should You Sell?

R Israelov, H Tummala - Available at SSRN 2990542, 2017 - papers.ssrn.com
This paper explores historical return and risk properties of equity-hedged options across the
S&P 500 option surface. We evaluate returns by estimating alpha to the S&P 500 index, and …

Superstar investors

J Brooks, S Tsuji, D Villalon - The Journal of Investing, 2019 - pm-research.com
—Warren Buffett, 1994 Berkshire Hathaway Annual Report Many famous investors are out-
spoken about their investment philosophies, and carefully apply them to a select number of …

Equity Tail Protection Strategies Before, During, and After COVID

R Israelov, D Nze Ndong - During, and After COVID (May 10, 2023), 2023 - papers.ssrn.com
Tail risk is usually an important consideration for investors, and a desire to limit catastrophic
loss has led to significant interest in protection strategies. Across four distinct market periods …

[PDF][PDF] Quantifying Alpha of Active Managers: A Case Study on Factor-Based Performance Attribution in Fixed-Income

J Traut, A Simonov, M Meitner - Research Journal for Applied Management, 2022 - ism.de
This paper contributes to the ongoing debate of whether active investing is still worthwhile in
presence of factor investing. It provides a universal framework that selects presumably factor …