Our Crash Protection Strategy aims to protect equity investors against the high losses during crash periods without giving up too much performance
With our so called “crash protection” strategy, losses can significantly be reduced during crash periods. A “Crash” can mean many things. For this strategy we have defined a crash as a period in which losses of -30%/-40% or higher occur. Flash crashes or sudden shocks of -10% to -20% are not the scope of this session. The reasoning behind this definition will be explained using proprietary research.
Looking at historic crashes there are specific characteristics which occur in every single crash:
· Diversification doesn’t work during these periods and hence this important attribute is helpful to protect portfolios
· There are surprising unknown facts about the duration of crashes
Overall, protection against a crash is much easier than expected, however doing so without giving up too much of the upside potential is the difficult part in designing a strategy. The proprietary indicators of our crash protection strategy achieve this target of protection without giving up too much upside. Finally, we will see our crash protection model in action. The strategy is applied in practice since 2011, It successfully provided protection during the crises of 2011, 2015/2016 and 2018. Since 2017 the strategy is applied in products of Baloise Asset Management. Due to the fact that the strategy is purely systematic, out-of-sample tests dating back till 1870 can be presented as well.
This session is interesting for everyone who wants to invest in equity markets and is looking for strategies to reduce the high drawdown risk during periods of crashes.
Speaker: Bertan Güler
Sr. Portfolio Manager
Bertan Güler has been developing systematic investment strategies for over 10 years. His experience in mathematics, coding, risk and portfolio management helped him in successfully building multiple quantitative strategies with a special focus on reducing drawdown risks and enhancing returns.