We’re talking volatility with Kris Sidial, Chief Investment Officer at The Ambrus Group. His funds' primary objective is to make outsized returns in the event of a market crash, and it therefore serves as a portfolio hedge for investors with heavily weighted long exposure.
Kris tells of his prop trading roots, before going on to explain the long vol trade and positioning to profit from tail risk events. He also speaks to the other side of the equation; generating absolute returns in the meantime, via active trading strategies.
There's a lot to unpack here, but Kris does a tremendous job in explaining strategies and risk management approaches that'll leave you with ideas to ponder.
00:00 – Intro
03:00 – Background: Tutelage under a volatility veteran, prop trading origins
12:30 – Long Vol Strategy: Insurance analogy, positioning for protection and profit
37:45 – Absolute Return Strategy: Reducing long vol bleed, behavioral modelling
48:40 – Risk Management: Risk taking, fractional Kelly bet sizing
Show notes:
https://chatwithtraders.com/242
Links & Resources:
@Ksidiii [https://twitter.com/Ksidiii]
169: The Market Huddle w/ Kris Sidial [https://www.youtube.com/watch?v=saM6z7Vmhmk&t=3s]
The Ambrus Group [https://www.ambrusgroup.com/]
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DISCLAIMER:
Trading in the financial markets involves a risk of loss. Podcast episodes and other content produced by Chat With Traders are for informational or educational purposes only and do not constitute trading or investment recommendations or advice.
#Trading #Stocks #Volatility #Podcast