long convexity portfolio (est-ce la convexité du portefeuille long ou acheteur)?
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09:48 Feb 15, 2007
English to French translations [PRO] Bus/Financial - Finance (general) / Asset Management/Alternative Management
English term or phrase:long convexity portfolio (est-ce la convexité du portefeuille long ou acheteur)?
SINGLE STOCK OPTIONS
Theta : 18 bps per week
Main investments : Fortis, SAP, BASF
Again our pure gamma positions had a hard time performing, although we proved able to mitigate the losses through disciplined intra-day hedging; We also produced alpha through pure risk-reward investments (Porsche, BHP BILITON). We keep our long convexity portfolio to benefit from exceptionally cheap risk prices, but we keep looking for opportunities to generate performance in such difficult conditions.