Tail risk funds
So, there have been a couple threads here and there on Universa, Nassim Taleb, long tails in market risk, etc. But none recently and none broadly focused on the "industry." (lol) I also know many uncorrelated products like to run some types of tail hedge- more interested in the guys who are specialists in highly convex, negatively-correlated products.
My own research on this in 2021 found no more than 10-20 decent funds in the US, making it a pretty tiny niche with very few people involved. However, I'm curious if anyone happens to know of/work with any of these people.
How do they manage to raise and keep LPs? What kind of numbers did these guys put up in 2022 when the markets fell? What kind of losses do these strategies have to sustain to return 1000%+ off a 25% drop in the markets?
Bump. Interested
To my knowledge, most multistrat funds run management book which are supposed to behave like a tail risk hedging book. For established funds that are famous for tail risk trading, I can think of funds that are rooted in macro trading: Saba Capital, Capula, BlueCrest, BFAM .. Not sure of others.
Interested in learning more as well.
When it comes to numbers, Boaz Weinstein discussed (and disputed) some of the returns of the industry (Universa) in a few twitter threads. I believe he runs a tail-risk strat at Saba and their is definitely some bad blood between him and Nassim Taleb.
He's not very good at making friends in the industry from what he describes in Black Swan lol
A lot of the smaller volatility MMs are permanently net long vega, or at least are most of the time. They blow up otherwise. Make a killing on a tail event.
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