Chapter 14 Crisis Alpha
Chapter 14 was written by my good friends Mike and Matt Thompson of Typhon Capital Management. I asked them to write this chapter because while I understand how the process works, they run a fund that engages in the practice. Their domain knowledge exceeds mine and brings more value to you.
Crisis alpha is a relatively new label in the financial industry used to describe investment strategies designed to generate positive returns during equity market panics. Crisis alpha strategies can range from short-focused hedge funds and trend-following CTAs, to specialized “Black Swan” tail risk protection products. This chapter focuses on generating crisis alpha using VIX futures and options.
Like any insurance product, VIX ...
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