Bruno Schwalbach - doktorant University of the Witwatersrand, prelegentem seminarium ośrodków QFRG i DSLab

Bruno Schwalbach pełni funkcje CEO / CIO firmy Ironclad Asset Management. Ponadto – jest doktorantem University of the Witwatersrand. Podczas seminarium (zaplanowanego 03.03 o godz. 18.30 na WNE UW) zaprezentuje badanie „Leveraging Convexity: Enhancing Global Equity Expected Returns withTrend-Following and Tail Risk Hedging Overlays”.

Osoby zainteresowane udziałem stacjonarnym – zapraszamy do s. B002. Istnieje również możliwość połączenia zdalnego (platforma Zoom). Link do spotkania jest następujący:

https://uw-edu-pl.zoom.us/j/93886973103?pwd=2S2L5mY29vEPl3VGAasjTQlB1iwMHu.1

[Identyfikator spotkania: 938 8697 3103

Kod dostępu: 716724]

Uczestników seminarium on-line prosimy o zalogowanie się możliwie o godz. 18:25.

Poniżej prezentujemy abstrakt wystąpienia [ENG] i zachęcamy do udziału.

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This thesis demonstrates that overlaying a combination of trend-following and tail risk hedging strategies onto a global equity portfolio significantly enhances both historical risk-adjusted and absolute returns. Tail risk hedging mitigates equity risk most effectively during sudden market crashes, while trend-following notably supports equity during slower bear markets. These strategies are complementary in that the combination is demonstrated to mitigate severe drawdowns which occur during crises that have manifested both rapidly and gradually. In addition, the application of a trend-following strategy has generated positive returns on average during equity bull markets while remaining uncorrelated under normal conditions. Employing a portable alpha framework, the beta and alpha components of the Combination Overlay portfolio are separated. The performance of a 100% global equity portfolio is compared with a portfolio that embodies the Combination Overlay portfolio, which maintains the same 100% allocation to global equity (representing beta) and overlays it with trend-following and tail risk hedging strategies (representing alpha). The resulting portfolio returns remain largely driven by global equity performance but exhibit a large, positive, and statistically significant alpha of 0.38% per month after controlling for traditional equity factors, global government bond, and commodity excess returns. This alpha stems from a combination of an uncorrelated risk premium earned from the trend-following overlay and a reduction in variance drag due to the superior tail risk characteristics of the Combination Overlay portfolio, which leads to an improved compounding return profile relative to global equity.