Asia EQD Academic Keynote: Gamma Fragility In Trend And Reversal Strategies

Trend and mean-reversion are bedrock pillars in a number of investment strategies, particularly in the CTA industry. At the fourth annual Asia EQD at the Ritz Carlton in Hong Kong, Andrea Buraschi, chair in finance at the Imperial College School and founding partner at Syntagma, detailed how specific structural channels had created a gamma imbalance.