From Vega Weighted Flat To Vega Flat: The Growth In Dispersion Trading
Nov 21, 2016
Portfolio managers have increasingly sought to extract correlation risk premium in equities through dispersion trading in various formats in the last 20 years, with packaged trades finding the most popularity among investors. The opportunities in dispersion are likely to grow even further going forward amid a backdrop of high vol-of-vol and greater innovation from the sellside. Rob McGlinchey spoke with those early adopters of dispersion trading on how market participants have benefited from the strategy, the myths around the imbedded costs of such structures and the risk of over fitting amid ongoing customization.
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