Research and publications

An Update on Weather Fear Premia Trades

This article reviews a class of trading strategies known as “weather fear premia” trades. The article describes them, arguing that they may comprise a type of risk premium and noting the extra ...

Author(s) :

Hilary Till

Summary :

This article reviews a class of trading strategies known as “weather fear premia” trades. The article describes them, arguing that they may comprise a type of risk premium and noting the extra diligence needed in their risk management. The author notes that both superior trade construction and an analysis of fundamentals are also critical for the successful implementation of these types of trades. The article concludes 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 : 05/12/2018