Carry-Neutral Tail Risk Hedging
Protection Against Market Crashes
Why This Strategy?
Ambrus has developed proprietary strategies designed to balance downside protection with capital efficiency. Our approach seeks to provide meaningful protection during market dislocations while minimizing bleed during more typical market environments.
Why Now?
Market crashes can devastate portfolios and institutional reputations. In addition, they are much more frequent than investors realize. The S&P 500 has dropped 20%+ in a 30-day period five times since 2000, i.e. an average of once every 4-5 years. Rapid market declines lead to bursts of volatility, which in turn generate convex returns for tail strategies. In addition, we believe recent growth in the derivatives markets has also increased the probability of cascading market crashes.
Why Us?
The Ambrus team has decades of institutional experience on the buy side and sell side building and trading quantitative derivative strategies. Our roots as proprietary traders allow us to implement sophisticated trade execution and utilize broker relationships to trade on favorable terms. Our trading style is designed to exploit capacity-constrained market edges.
“The tour we’ve taken through the last century proves that market irrationality of an extreme kind periodically erupts – and compellingly suggests that investors wanting to do well had better learn how to deal with the next outbreak.”
Warren Buffett
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