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Alpay Kaya's  Instablog

Alpay Kaya
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My professional background is in algorithmic proprietary trading with a basis in quantitative research. Having led systematic strategy research efforts in both Fortune 500 and start-up hedge fund enterprises, my experience spans asset classes and instruments. Like many others, I came to the... More
My blog:
Alpay Kaya, CFA
My book:
The Value in Volatility: A Practitioner's Guide to Leveraged ETFs
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  • saloswe
    , contributor
    Comment (1) | Send Message
     
    Hi Alpay,
    as you are an expert in leveraged finance, I have a question about particular trading idea. In one pdf slide I read that when trading leveraged ETFs, the gain goes smaller than the loss. Do you agree with it even when shorting the position (f.e. VXX)? What other constraints can you see if the strategy is based on shorting volatility with hedge.
    Thanks for your comments.
    Best Regards
    Robert Weclewski
    25 May, 01:59 PM Reply Like
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