The idea worth investigating
Options and trend following respond on different clocks. Noguer i Alonso and Al-Fallouji examine how those responses fit together when the portfolio’s objective is controlling tail losses.
The full analysis examines the study and the practical question behind it: A sudden crash and a grinding bear market create different demands on protection. This paper puts puts and trend in one framework.
Paper-based analysis; no independent house test has been completed.
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The headline is the starting point. The subscriber analysis takes you through:
- How each hedge responds to the loss path
- What the simulation weights actually mean
- The carry, timing and implementation questions
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