VIX and SJB are useful tools to hedge tail risk with; you'll in effect be paying a premium by holding them, but because of IV and OAS clustering, you don't have to hold too much of them to hedge some tail.
Thank you! The key is to minimising the bleed by entering when vol is very high vs history and likely to revert. Otherwise avoid. At least that’s how we approach it
With added return and higher sharpe ratio of the S&P + Crisis Protection Program, do you see any more benefit of trading a 50/50 S&P+Crisis and ETF split?
VIX and SJB are useful tools to hedge tail risk with; you'll in effect be paying a premium by holding them, but because of IV and OAS clustering, you don't have to hold too much of them to hedge some tail.
Solid write-up by the way.
Thank you! The key is to minimising the bleed by entering when vol is very high vs history and likely to revert. Otherwise avoid. At least that’s how we approach it
Could you also share the rolling 260 returns of the Prometheus SP500 + Crisis Program integration?
Hi Tom- you can find the rolling returns in the most recent sample note we shared.
Thanks! And to be clear, is this part of the Retail subscription or an add on?
Part of the Substack. Updates go out alongside the S&P 500 Program on Mondays. Program already started going out last week 🔥
Value add like this will keep me subscribed! I saw the distribution last week but wasn’t sure if it was a “teaser” or not. Appreciate you all!
Only going to keep getting better :)
With added return and higher sharpe ratio of the S&P + Crisis Protection Program, do you see any more benefit of trading a 50/50 S&P+Crisis and ETF split?