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An Update on Weather Fear Premia Trades
In this article, we will review a class of trading strategies known as “weather fear premia” trades. We will describe them, arguing that they may comprise a type of risk premium and noting the ...
Author(s):
Research Associate, EDHEC-Risk Institute
Principal, Premia Research LLC
In this article, we will review a class of trading strategies known as “weather fear premia” trades. We will describe them, arguing that they may comprise a type of risk premium and noting the extra diligence needed in their risk management. We note that both superior trade construction and an analysis of fundamentals are also critical for the successful implementation of these types of trades. We conclude with a cautionary note on a catastrophic trading blow-up that occurred in November 2018, illustrating the risk of such strategies.
| Type: | Working paper |
|---|---|
| Date: | le 01/12/2018 |
| Research Cluster : | Finance |
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Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
