Available materials: Slides (PDF) Recording
This project explores dynamic hedging strategies for equity portfolios during high-volatility regimes, focusing on volatility-regime shifts and macro-triggered tail-risk events. Using the VIX and short-term VIX futures as hedging instruments, we construct a dynamic strategy that adjusts hedge ratios based on market regime identification. The empirical analysis demonstrates substantial performance improvements: a 47% reduction in annualized volatility, a 2.6× increase in the Sharpe ratio, and maximum drawdown reduced from –19% to –4%. This presentation was delivered as part of the Quant Finance Bootcamp certification requirements at the Erdős Institute, where the project was selected as a top project from 107 submissions in the Fall 2025 cohort.
The recording is an introductory summary to the project.