Most systematic strategies are inherently long carry strategies, and as such, they are somewhat short gamma/tails, mainly because systematic strategies are designed to do well in most cases, which is when things don't blow up... Systematic vol rv strategies are no different
@OneHotCode1 not sure i agree with this, very much depends on the strategy and the source of return
@bennpeifert Can't think of any systematic vol RV strategy that is both positive carry and not short either gamma or tails, but I might be wrong
@moreproteinbars @OneHotCode1 @bennpeifert This has nothing to do with discretionary vs systematic. A systematic strategy does not have to be long carry. There are signal driven strategies that do not fit this description at all.
@Neumann560005 @moreproteinbars @bennpeifert yes, in theory even a system that has a signal once a decade can still be systematic, just you can't in practice run that as a standalone strategy or pitch that to a hedge fund... The strategies that i talked about are the so-called "core" strategies that has to run capital
@Neumann560005 @moreproteinbars @bennpeifert if your fund forces you to take AUM you need to deploy that capital and put it to use
@OneHotCode1 @moreproteinbars @bennpeifert I agree. I just dont agree with the notion that systematic vol rv =carry strategy. Thats like saying systematic futures = trend following. There are definitely systematic vol rv strats able to manage decent capital allocations that dont fit in this category.
@Neumann560005 @moreproteinbars @bennpeifert ok so let's rephrase it - most hf/pod shops vol rv straetgies are positive carry mostly b/c the expectation of you making pnl consistently and being able to scale... otherwise you can have a system that generates a signal once a decade and still being "systematic"
@OneHotCode1 @moreproteinbars @bennpeifert 100% agreed. But this has nothing to do with systematic vs discretionary. A discretionary trader at a pod shop is also expected to make money consistently, so they would also need to have this bias if they want to run at scale.
@moreproteinbars @Neumann560005 @OneHotCode1 agree firms like qvr and parallax are market neutral and large payers of theta
@bennpeifert @moreproteinbars @OneHotCode1 By "market neutral" in the context of a volatility fund, do you mean something like zero beta to SPX and VIX? Or also to level of skew and convexity ? Like eg. a short spx skew strategy would in theory be vega and delta neutral, but not sure if one would call that market neutral