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Quantitative Finance · Glossaire

Qu'est-ce que « Crisis alpha » ?

Definition 19.5 Strategies I: Equities and Futures · Chapitre 19 — Trend Following

Crisis alpha is a strategy’s tendency to earn positive returns during prolonged declines of the stock market, measured as its return over the market’s largest drawdowns; for trend following it comes from being short equities and positioned for the flight to quality once the decline has lasted longer than the signal’s lookback.

The blended trend book, targeted at 10% volatility, and the mean of the ten equity index futures on the synthetic universe, as cumulative sums of daily excess returns; the shaded bands are the three planted stock crashes. Data: s1_trend.paths.
Figure 19.2. The blended trend book, targeted at 10% volatility, and the mean of the ten equity index futures on the synthetic universe, as cumulative sums of daily excess returns; the shaded bands are the three planted stock crashes. Data: s1_trend.paths.
The trend smile: the blended trend book’s quarterly return (10% volatility target) against the equity class’s, 115 quarters of the synthetic universe, with a fitted quadratic (curvature 2.63). Data: s1_trend.smile.
Figure 19.3. The trend smile: the blended trend book’s quarterly return (10% volatility target) against the equity class’s, 115 quarters of the synthetic universe, with a fitted quadratic (curvature 2.63). Data: s1_trend.smile.
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