Short volatility strategies crowded?

Makroekonomika: centrálne banky, HDP, ekonomický cyklus, atď.

Short volatility strategies crowded?

Poslaťod Kos3 » Str 11 08, 2017 2:17 pm

Nedavno som narazil na zaujimavy research od artemis capital management, oplati sa precitat cele:
http://www.artemiscm.com/s/Artemis_Vola ... 7-y6ss.pdf

V skratke: market je zranitelny kvoli tomu ze vela penazi je natlacenych v strategiach ktore poskytuju vacsi yield, a to vdaka tomu ze vo svojej podstate selluju volatilitu / hraju na to ze market bude nadalej pokojny. Vybusnu zmes teda nasli, otazka je ci a kedy tato zmes vybuchne. Ku koncu spominaju ze unwind tychto strategii moze zapricinit iba nahla zmena volatility - a ta zvykne prichadzat zo zmeny v credit cykle: Volatility is the brother of credit... and volatility regime shifts are driven by the credit cycle; cheap credit makes the value of equity less volatile, hence a tightening of credit conditions will lead to higher equity volatility. When credit is easily available and rates are low, volatility remains suppressed, but as credit contracts, volatility rises.

Fed prave odstartoval svoj tightening v zmysle redukcie balance sheetu, aj ked iba postupne a malymi krokmi:
... Committee members stated that once tapering begins they will start by letting $6 billion a month in maturing Treasuries run off, which will slowly increase to $30 billion over the coming months. With regards to its agency debt and Mortgage-Backed Securities (MBS), the Fed laid out a similar plan where it will begin tapering $4 billion a month until it reaches $20 billion. Additionally, the Fed said the long-run plan is to keep the balance sheet "appreciably below that seen in recent years but larger than before the financial crisis."
https://www.federalreserve.gov/newseven ... 1101a1.htm
Viac na: https://www.investopedia.com/insights/h ... z4xqE2Hdqk

Ako pise Artemis ku koncu "Active long volatility and stocks will outperform over the next five years", okrem toho by mozno mohol byt aj slusny potencial nejakeho fat-tail eventu na vol trhu, kde sa mozu kaskadovito uvwindovat short vol strategie, pripadne na akciach a indexoch a mohla by sa tam vyskytnut prilezitost na trejd s vysokym RRR.
Kos3
 
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