200-DMA defensive switch
Drawdown controlLong
Faber Tactical Asset Allocation - 10mo SMA switch
Source: Faber 2007
2008 Universa returns
UniversaLong vol
Universa +100%+ in 2008 while SPX -50%+
Source: encyclopedia
2020 COVID Universa
UniversaLong vol
March 2020 +3612% +4144% YTD return
Source: LinkedIn G.Babu
3.3% Universa + 96.7% SPX
UniversaLong
WSJ 2018: 3.3% Universa + 96.7% SPX returned 12.3% CAGR 10y vs SPX alone
Source: WSJ via wikipedia
36 South Investment
Tail-risk fundsLong vol
36 South global long-vol fund
Source: 36 South
90/10 barbell allocation
Taleb BarbellDiversified
Taleb: 80-90% safe T-bills + 10-20% extreme convex bets
Source: Antifragile book
AQR Style Premia tail bucket
Crisis alphaMulti
Trend within style premia for crisis hedge
Source: AQR
Active long-vol bucket
Dragon PortfolioLong vol
21% allocation to active long-vol convex hedges
Source: Artemis
Active vs passive long-vol
Cole convexityLong vol
Active vol manager outperforms passive long-VIX over cycles
Source: Artemis
Allianz buffered annuities
DIY tail hedgeLong
Buffered fixed-indexed annuities mass-market tail
Source: Allianz
Antonacci Dual Momentum
Drawdown controlLong
Absolute + relative momentum switch defensive
Source: Antonacci 2014
Artemis Dragon 5x20%
Dragon PortfolioDiversified
Cole 2020: 20% equity 20% bonds 20% gold 20% trend 20% long-vol
Source: Bogleheads
BTOP50 trend benchmark
Crisis alphaTrend
Barclay BTOP50 systematic trend index
Source: BarclayHedge
CTA crisis alpha
Crisis alphaTrend
Trend-following CTAs profit during crises (2008 2020)
Source: Mulvaney/AHL
CXO Dragon variant
Dragon PortfolioDiversified
24% equity 21% long-vol 18% bonds 19% gold 18% trend
Source: CXO Advisory
Calendar put hedge
Convex hedgesLong vol
Buy long-dated put sell short-dated put - pays on slow grind down
Source: encyclopedia
Cambria Tail Risk ETF (TAIL)
DIY tail hedgeLong vol
TAIL ETF: 5%-OTM SPY puts retail tail hedge
Source: Cambria
Capstone Investment Advisors
Tail-risk fundsLong vol
Capstone vol arb + tail mandate
Source: Capstone
Capula GRV
Tail-risk fundsLong vol
Capula Global Relative Value tail bucket
Source: Capula
Constant proportion portfolio insurance
Drawdown controlLong
CPPI: dynamic allocation between risky asset and bond floor
Source: Black-Jones
Crash-bang-for-the-buck
UniversaLong vol
Maximize payoff per dollar of premium spent
Source: Universa letter
Credit-spread tail flag
Vol regimeLong vol
IG OAS > 200 bps historically near tail
Source: encyclopedia
Cross-asset vol regime composite
Vol regimeLong vol
Equity+bond+FX+credit vol composite tail signal
Source: encyclopedia
DUNN Capital WMA
Crisis alphaTrend
DUNN long-running trend fund deep crisis alpha
Source: DUNN
Diagonal put spread
Convex hedgesLong vol
Long-dated OTM put + sell short-dated nearer-OTM put
Source: encyclopedia
Discretionary global macro
Dragon PortfolioMulti
Optional 6th component in some Dragon variants
Source: RCM Alts
Drawdown beta exposure
Vol regimeLong vol
Track drawdown beta - rises in tails
Source: encyclopedia
Empirica Capital tail-hedging
UniversaLong vol
Spitznagel-Taleb 1999 fund precursor to Universa
Source: wikipedia
Equity drawdown stop-loss
Drawdown controlLong
X% drawdown triggers cash position
Source: encyclopedia
F1 racing metaphor allocation
UniversaLong
Hedge tails to hold MORE risk assets (70/30 + tail vs 60/40)
Source: finews.com
Far-OTM call long bonds hedge
Convex hedgesLong vol
Long TLT calls hedge equity crashes (flight-to-quality)
Source: encyclopedia
Fortress Convex strategies
Tail-risk fundsLong vol
Fortress Convex Asia tail mandates
Source: Fortress
Greenlight tail bucket
Tail-risk fundsLong vol
Einhorn periodic tail-hedging trades
Source: Einhorn letters
Hawk and Serpent allegory
Dragon PortfolioDiversified
Cole framework: portfolios for secular growth + secular decline
Source: Artemis paper
Hundred Year Portfolio
Dragon PortfolioDiversified
Equal-weight Dragon implementation rebalanced monthly
Source: LinkedIn Barr
Index put spreads with collar
Convex hedgesLong
Reduce premium drag via spread + collar combo
Source: encyclopedia
Innovator Defined Outcome
DIY tail hedgeLong
Innovator buffer ETFs cap upside floor downside
Source: Innovator
Ionic Capital Partners
Tail-risk fundsLong vol
Convertible + vol arb + tail
Source: Ionic
Ivy Portfolio defensive
Drawdown controlLong
Faber Ivy 5-asset 200-day SMA
Source: Faber
JEPI/JEPQ covered call income
DIY tail hedgeIncome
JEPI sells calls reducing tail exposure but caps upside
Source: JPMAM
Kelly fractional sizing
Drawdown controlMulti
Use 0.25-0.5x Kelly to control drawdown vs full Kelly
Source: Thorp
Lighthouse Investment Partners
Tail-risk fundsLong vol
Lighthouse multi-mgr including tail
Source: Lighthouse
Liquidity-stress index
Vol regimeLong vol
Bloomberg/OFR liquidity stress indices for regime
Source: OFR
Long gold call hedge
Convex hedgesLong
Buy GLD calls hedge inflation + currency tail
Source: encyclopedia
Long-dated OTM SPX puts
Convex hedgesLong vol
Buy 6-12mo OTM puts roll periodically Universa-style
Source: marketsentiment.co
Long-only managed futures
Crisis alphaTrend
Sustained trends form during crises - trend captures both sides
Source: Greyserman-Kaminski
Long-vol convex carry
Cole convexityLong vol
Cole's convexity framework - long-vol with carry-neutral structures
Source: Artemis
Long-vol on FX yen
Convex hedgesLong vol
Buy USDJPY puts (yen calls) - JPY rallies in risk-off
Source: encyclopedia
Long-vol on credit CDX
Convex hedgesLong vol
Long CDX HY protection pays on credit tail event
Source: Calamos
LongTail Alpha
Tail-risk fundsLong vol
Vineer Bhansali tail-risk firm
Source: LongTail Alpha
Lyxor Epsilon trend
Crisis alphaTrend
Lyxor systematic trend - replicable index
Source: Lyxor
MOVE index extreme
Vol regimeLong vol
Track MOVE for bond crisis flag (March 2023)
Source: ICE
Man AHL Diversified
Crisis alphaTrend
Pioneer systematic trend fund (Man Group)
Source: Man Group
Mediocristan vs Extremistan
Taleb BarbellDiversified
Avoid mid-risk bets - prefer ultra-safe + ultra-convex
Source: Black Swan
Mulvaney long-vol trend
Crisis alphaTrend
Mulvaney Capital known for crisis-period outperformance
Source: encyclopedia
Mutiny Fund implementation
Dragon PortfolioDiversified
Retail-accessible Dragon Portfolio fund-of-funds
Source: mutinyfund
Naive empiricism approach
UniversaLong vol
Universa: don't forecast - just hedge tails systematically
Source: finews.com
One River Asset Management
Tail-risk fundsLong vol
One River macro + long-vol allocation
Source: One River
Optimal-f fractional
Drawdown controlMulti
Vince's optimal-f reduced for drawdown tolerance
Source: Vince
Optionality first principle
Taleb BarbellLong
Seek convex payoff structures over linear
Source: Antifragile
Physical gold 19%
Dragon PortfolioLong
Spitznagel rejects gold as tail hedge but Dragon includes 19-20%
Source: multiple
Pine River Capital
Tail-risk fundsLong vol
Multi-strat with vol component
Source: Pine River
Put ratio backspread
Convex hedgesLong vol
Sell 1 ATM put buy 2 OTM puts net credit but huge convex on crash
Source: Cottle
Put spread collar
Convex hedgesLong
Buy ATM put sell OTM put + sell OTM call funded structure
Source: Bookstaber
QVR Advisors vol
Tail-risk fundsLong vol
QVR vol-arb with embedded tail exposure
Source: QVR
Realized-vs-implied gap
Vol regimeLong vol
Negative VRP regime = expensive vol
Source: Bondarenko
Risk-managed equity ETFs
DIY tail hedgeLong
SPMO QSPY USMV - vol-targeted equity for tail mgmt
Source: encyclopedia
Risk-on/risk-off flag
Drawdown controlMulti
Use VIX/credit spread thresholds to switch regimes
Source: encyclopedia
Risk-parity drawdown overlay
Drawdown controlMulti
Bridgewater All-Weather + drawdown trigger
Source: Bridgewater
SKEW index extreme
Vol regimeLong vol
CBOE SKEW > 150 indicates expensive tails
Source: CBOE
SPX 5%-OTM 12mo put roll
DIY tail hedgeLong vol
Retail-accessible: roll 5% OTM 1y SPX puts every 9mo
Source: marketsentiment.co
Saba Capital tail strategies
Tail-risk fundsLong vol
Saba Capital - Boaz Weinstein tail/credit RV
Source: Saba
Simplify TYA/CYA tail ETFs
DIY tail hedgeLong vol
Simplify CYA - SPX OTM puts on convexity sleeve
Source: Simplify
Single-stock put baskets
Convex hedgesLong vol
Buy puts on most-vulnerable names rather than index puts
Source: encyclopedia
Skew-trade put spread
Convex hedgesLong vol
Buy OTM put sell DOTM put when skew flat - pays on tail repricing
Source: Goldman
Skin in the game filter
Taleb BarbellMulti
Only follow advice from those exposed to the same risks
Source: SITG book
SocGen CTA Index
Crisis alphaTrend
SocGen CTA index tracks crisis alpha provider returns
Source: SG-Prime
Stop-loss strategy backtests
Drawdown controlMulti
Kaminski-Lo stop-loss can add value in trending mkts
Source: Kaminski-Lo
Time-invariant portfolio protection
Drawdown controlLong
TIPP: ratchet floor up but never down
Source: encyclopedia
Trailing equity curve stop
Drawdown controlMulti
Stop trading strategy when equity curve hits threshold
Source: encyclopedia
Trend-commodities bucket
Dragon PortfolioTrend
18-20% trend-following commodity exposure for inflation hedge
Source: RCM
True Partner Capital
Tail-risk fundsLong vol
True Partner Asia-focused vol/tail fund
Source: True Partner
Universa tail hedge core
UniversaLong vol
Mark Spitznagel small allocation deep OTM SPX puts harvest crash convexity
Source: en.wikipedia.org/wiki/Mark_Spitznagel
VIX call 1% allocation
DIY tail hedgeLong vol
Allocate 1% portfolio/year to OTM VIX calls (90% expiry worthless)
Source: encyclopedia
VIX call butterfly
Convex hedgesLong vol
Buy ATM sell 2x OTM buy further OTM cheaper than outright calls
Source: encyclopedia
VIX call ladder
Convex hedgesLong vol
Ladder VIX 25/30/40/50 strikes for cheap convex tail hedge
Source: encyclopedia
VIX futures roll-down hedge
Convex hedgesLong vol
Long VIX futures despite contango decay - pays in crash
Source: encyclopedia
VIX spot-vs-futures basis
Vol regimeLong vol
Spot-VIX > 1st-month future = stress regime
Source: encyclopedia
VIX term-structure inversion
Vol regimeLong vol
VIX/VXV > 1 (backwardation) = stress regime
Source: encyclopedia
VIX9D > VIX > VIX3M
Vol regimeLong vol
Short-end inversion = acute stress flag
Source: CBOE
VVIX-implied put hedge
Convex hedgesLong vol
Buy puts when VVIX is low (cheap vol-of-vol)
Source: Goldman/encyclopedia
Variance swap long
Convex hedgesLong vol
Long var-swap pays realized^2 vs strike^2 - convex on big moves
Source: Demeterfi
Via Negativa investing
Taleb BarbellDiversified
Remove fragility rather than predict outcomes
Source: Antifragile
Vol-as-asset-class
Cole convexityLong vol
Treat vol as separate asset class with strategic alloc
Source: Artemis
Vol-of-vol indicators
Vol regimeLong vol
Trade VVIX > 100 as vol regime shift signal
Source: encyclopedia
Volatility laundering critique
Cole convexityDiversified
Cole: PE smoothing returns hides true vol/risk
Source: Cole 2021
Volatility targeting overlay
Drawdown controlMulti
Scale exposure inverse to realized vol - cap drawdowns
Source: Hocquard et al
Volatility tax avoidance
UniversaLong vol
Big losses destroy geometric returns; hedge them to compound faster
Source: Spitznagel Safe Haven
Volatility-control index
Drawdown controlMulti
SPX VolControl 5/10/15% indices used in structured products
Source: S&P
Winton Diversified
Crisis alphaTrend
Winton trend fund - mixed crisis performance
Source: Winton
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.