Strategic Risk Management

Index

• Page references followed by fig indicate an illustrated figure; followed by t indicate a table

•  
• Active hedging strategies
  • futures time-series momentum strategies, 42–46
  • quality stocks, 46–57
  • securities included, 42
  • simple time-series momentum strategy, 41–42
• “Algorithm aversion,” 164–165
• AMEX. See Equities All U.S.
• Arnott, Robert D., 125
• Asian crisis
  • effectiveness of dynamic hedges, 59t–60t
  • long puts using OTC put option data from broker, 64t
  • quality factor performance, beta-neutral, 53t–54t
  • quality factor performance, dollar-neutral, 66–66t
  • quality stock equity factor performance over drawdown and, 48t–50
  • quality stocks total return and annualized return during, 55t
  • S&P 500 performance during, 197t–199t
• Asness, C., 46, 47, 50, 191
• Asset selection
  • trend-following strategies integrated into, 3, 9–25fig, 27
• ATM (at-the-money) S&P 500 put returns, 63–63t

•  
• “Back to Earth day” drawback (June 1970), 118fig
• Baele, L., 19
• Balanced 60–40 equity-bond portfolios
  • cumulative returns, realized volatility, left and right tail for, 95fig
  • drawdown plot for, 105fig
  • five worst drawdown moments for the, 118fig, 136t, 137t
  • performance statistics for (1988–2017), 93–94t, 101
  • See also Rebalanced 60–40 portfolios
• Balia, T., 171
• Bank of America Merrill Lynch U.S. Corporate Master Total Return index, 74
• Barclays US Treasury Index, 169, 170fig
• Bekaert, G., 19
• Black, F., 98
• Black Monday
  • drawdown level of, 118fig, 122, 125
  • effectiveness of dynamic hedges, 59t–60t
  • quality factor ...