Public research brief
Protection against the first gap lower is a different job from protection against the next six months.
Noguer i Alonso and Al-Fallouji place puts and trend following inside a common tail-loss framework. In their model, option protection reacts to a sudden shock, while trend takes time to turn defensive. The numerical evidence is stylized simulation, not a historical options backtest.
The paper is useful as a way to ask a sharper allocation question: which loss path is each hedge supposed to address? We have not tested its proposed combination on our data.
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