Research & White Papers

Most Recent
The universe of options-based strategies is expanding rapidly as investors explore ways to better manage risks and pursue their investment needs and objectives in a low-yield world. However, options utilization can be overwhelming with all there is to know about evaluating them, so in this paper we:
  1. Discuss and critique Morningstar’s laggard approach to classifying option-based strategies, to help due diligence and investment selection processes.
  2. Propose our three-tiered system of hedging, income, and alpha
  3. Outline the objectives, pros, cons, and risks of each of those three broad strategies
  4. Discuss of the Defined Risk Strategy within the framework we established
Most Popular

The demand increased for alternative investments that offer low correlations to traditional asset classes continues to grow after the COVID-19 pandemic.

However, using traditional risk/return metrics and benchmarks often provides limited value in measuring the effectiveness of alternatives.

We explore a few little-known risk metrics that can be helpful in assessing investment choices, especially those involving alternative funds:
1. Minimizing losses: pain index, pain ratio
2. Avoiding tail risk events: omega, upside/ downside omega
3. Provide consistent, steady returns: Zephyr K-ratio

By definition, systematic risk cannot be diversified away. Therefore, at Swan, we believe if you can’t diversify away systematic risk, you must hedge it away.


The goal of this study is to show how hedged equity, through an investment vehicle such as the DRS, can be superior to traditional asset allocation or help enhance it. The results are intriguing.


This white paper also highlights 13 popular, well-known asset allocation strategies and illustrates how an allocation to the DRS could offer favorable absolute and risk-adjusted returns.

Research Library
Helpful Insights