The Second Leg Down

Strategies for Profiting after a Market Sell-Off
 
 
Standards Information Network (Verlag)
  • erschienen am 13. Februar 2017
  • |
  • 208 Seiten
 
E-Book | PDF mit Adobe-DRM | Systemvoraussetzungen
978-1-119-21901-9 (ISBN)
 
Cut risk and generate profit even after the market drops
The Second Leg Down offers practical approaches to profiting after a market event. Written by a specialist in global macro, volatility and hedging overlay strategies, this book provides in-depth insight into surviving in a volatile environment. Historical back tests and scenario diagrams illustrate a variety of strategies for offsetting portfolio risks with after-the-fact options hedging, and the discussion explores how a mixture of trend following and contrarian futures strategies can be beneficial. Without a rational analysis-based approach, investors often find themselves having to cut risk and buy protection just as options are at their most over-priced. This book provides practical strategies, expert analysis and the knowledge base to assist you in recovering your portfolio.
Hedging strategies are often presented as expensive and unnecessary, especially during a bull market. When equity indices and other unstable assets drop, they find themselves stuck - hedging is now at its most expensive, but it is imperative to hedge or face liquidation. This book shows you how to salvage the situation, with strategies backed by expert analysis.
* Identify the right hedges during high volatility
* Generate attractive risk-adjusted returns
* Learn new strategies for offsetting risk
* Know your options for when losses have already occurred
Imagine this scenario: you've incurred significant losses, you're approaching risk limits, you must cut risk immediately, yet slashing positions would damage the portfolio - what do you do? The Second Leg Down is your emergency hotline, with practical strategies for dire conditions.
1. Auflage
  • Englisch
  • New York
  • |
  • Großbritannien
John Wiley & Sons Inc
  • 7,61 MB
978-1-119-21901-9 (9781119219019)
weitere Ausgaben werden ermittelt
HARI P. KRISHNAN, PHD, is a fund manager at Cross-Border Capital, where he runs systematic macro and volatility strategies. Cross-Border is a London-based hedge fund with roughly US$300 million in assets. He previously managed a CTA for a London-based asset management boutique, and he was an executive director and co-head of alternative asset allocation at Morgan Stanley (Chicago and London). In addition, Dr. Krishnan has worked as an options trading strategist and as a senior economist at the Chicago Board of Trade. He received a PhD in applied math from Brown University, and he was a post-doctoral research scientist at the Columbia Earth Institute, Columbia University, before moving into finance.
1 - Cover [Seite 1]
2 - Title Page [Seite 5]
3 - Copyright [Seite 6]
4 - Contents [Seite 9]
5 - Preface [Seite 13]
6 - Acknowledgements [Seite 15]
7 - About the Author [Seite 17]
8 - Chapter 1: Introduction [Seite 21]
8.1 - The Airplane Ticket Trade [Seite 21]
8.2 - The Bull Cycle [Seite 22]
8.3 - The Renegades [Seite 23]
8.4 - Claws of the Bear [Seite 23]
8.5 - Zugzwang [Seite 24]
8.6 - The Sceptics [Seite 25]
8.7 - A Sad Truth [Seite 25]
8.8 - Common Mistakes [Seite 26]
8.9 - Imprecise but Effective [Seite 27]
8.10 - Hedging Against Implausible Scenarios [Seite 28]
8.11 - A Black Swan in Correlation [Seite 28]
8.12 - Taking Profits [Seite 28]
8.13 - The Good, the Bad and the Ugly [Seite 29]
8.14 - The Great Escape [Seite 29]
8.15 - Having a Plan [Seite 30]
8.16 - Trend Following as a Defensive Strategy [Seite 31]
8.17 - Taking the Offensive [Seite 32]
8.18 - The Pre-Conditions for Market Crises [Seite 32]
8.19 - Banks: The Great Multiplier [Seite 33]
8.20 - A Change in Risk Regime [Seite 33]
8.21 - Endnotes [Seite 33]
9 - Chapter 2: "Safe" Havens and the Second Leg Down [Seite 34]
9.1 - The Matterhorn [Seite 35]
9.2 - Mrs. Watanabe's No. 1 Investment Club [Seite 38]
9.3 - The Risk of What Others are Holding [Seite 39]
9.4 - The Risk of What Others Are Likely to Do [Seite 42]
9.5 - Here We Go Again [Seite 44]
9.6 - Summary [Seite 48]
9.7 - Endnotes [Seite 48]
10 - Chapter 3: An Overview of Options Strategies [Seite 49]
10.1 - The Building Blocks: Calls and Puts [Seite 49]
10.2 - Why Buy a Call or Put? [Seite 54]
10.3 - The Black-Scholes Equation and Implied Volatility [Seite 56]
10.4 - The Implied Volatility Skew [Seite 58]
10.5 - Hedging Small Moves [Seite 58]
10.6 - Delta hedging: The Idealised Case [Seite 59]
10.7 - Practical Limits of Delta Hedging [Seite 61]
10.8 - Hedging Options with Other Options [Seite 63]
10.9 - Put and Call Spreads [Seite 63]
10.10 - Straddles and Strangles [Seite 64]
10.11 - The Deformable Sheet [Seite 66]
10.12 - Skew Dynamics for Risky Assets [Seite 68]
10.13 - The 1×2 Ratio Spread and Its Relatives [Seite 70]
10.14 - The Batman Trade [Seite 73]
10.15 - Implied Correlation and the Equity Index Skew [Seite 76]
10.16 - From Ratios to Butterflies [Seite 79]
10.17 - Calendar Spreads [Seite 85]
10.17.1 - Put/Call Parity Argument [Seite 85]
10.18 - Summary [Seite 87]
11 - Chapter 4: Hedging the Wings [Seite 88]
11.1 - Taking the Other Side of the 1×2 [Seite 88]
11.2 - Comparing the 25 and 10 Delta Puts [Seite 89]
11.3 - Hedging Sovereign Bond Risk [Seite 98]
11.4 - Selling Put Ratio Spreads on the S&P 500 [Seite 103]
11.5 - The Hypothetical Implied Distribution [Seite 103]
11.6 - Our Findings So Far [Seite 104]
11.7 - Back-Tests: A Cautionary Note [Seite 104]
11.8 - A Short Digression: Delta-Neutral or Comfortably Balanced? [Seite 107]
11.9 - The 665 Put [Seite 107]
11.10 - Implications of the Square Root Strategy [Seite 108]
11.11 - Futures vs Spot [Seite 109]
11.12 - A Dramatic Example [Seite 109]
11.13 - A Cross-Sectional Study [Seite 111]
11.14 - The "New" VIX: Model-Independent, Though Not Particularly Intuitive [Seite 114]
11.15 - The Spot VIX: Oasis or Mirage? [Seite 114]
11.16 - Migrating to VIX Options [Seite 118]
11.17 - Reflections on Figure 4.36 [Seite 121]
11.18 - Migrating to Different Markets: The V2X [Seite 123]
11.19 - Risk-Regime Analysis [Seite 124]
11.20 - Conditional Performance of Hedging Strategies [Seite 126]
11.21 - Summary [Seite 129]
12 - Chapter 5: The Long and the Short of It [Seite 130]
12.1 - Short?Dated Options [Seite 130]
12.2 - The Physicists Weigh In [Seite 132]
12.3 - Buying Time [Seite 137]
12.4 - Long?Dated Options [Seite 139]
12.5 - Far from the Madding Crowd [Seite 141]
12.6 - R Minus D [Seite 142]
12.7 - The Lumberjack Plot [Seite 145]
12.7.1 - Vega Grows in T ? t [Seite 145]
12.8 - Selective Application of the Weekly Options Strategy [Seite 146]
12.9 - Summary [Seite 147]
13 - Chapter 6: Trend Following as a Portfolio Protection Strategy [Seite 148]
13.1 - What is Trend Following? [Seite 148]
13.2 - Trend Following Dogma [Seite 150]
13.3 - The Crisis Alpha Debate [Seite 151]
13.4 - An Aside: Diversifying Across Time [Seite 154]
13.5 - Taking Advantage of a Correction [Seite 155]
13.6 - The Niederhoffer Argument [Seite 155]
13.7 - Chasing 1-Day Moves [Seite 158]
13.8 - Pushing the Analogy Too Far [Seite 159]
13.9 - Analysing the Data Directly [Seite 161]
13.10 - LEGO Trend Following [Seite 162]
13.11 - Summary [Seite 163]
13.12 - Notes [Seite 163]
14 - Chapter 7: Strategies for Taking Advantage of a Market Drop [Seite 164]
14.1 - The Elastic Band [Seite 164]
14.2 - Trading Reversals [Seite 167]
14.3 - More Texas-Style Hedging [Seite 169]
14.4 - Selling Index Put Spreads [Seite 171]
14.5 - Breathing Some Life into the Equity Risk Premium [Seite 172]
14.6 - Buying VIX Puts [Seite 173]
14.7 - Selling VIX Upside [Seite 174]
14.8 - The Remarkable Second Moment [Seite 175]
14.9 - Summary [Seite 178]
15 - Chapter 8: "Flash Crashes", Crises and the Limits of Prediction [Seite 179]
15.1 - Lord of the Fireflies [Seite 179]
15.2 - Cascading Sales [Seite 180]
15.3 - A Concrete Example [Seite 182]
15.4 - An Aside [Seite 182]
15.5 - Paths, Prints [Seite 183]
15.6 - The Role of the Central Bank [Seite 184]
15.7 - Credit Cycles at the Zero Bound [Seite 184]
15.8 - The Monetary Policy Palette [Seite 185]
15.9 - Reading the Tea Leaves [Seite 188]
15.10 - Summary and Conclusion [Seite 189]
16 - Glossary [Seite 191]
17 - References [Seite 193]
18 - Index [Seite 197]
19 - EULA [Seite 211]

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