Long-term investing with dynamic hedging using a combination of stocks and options

The Hong Kong University of Science and Technology
Department of Computer Science and Engineering

Final Year Thesis Oral Defense

Title: "Long-term investing with dynamic hedging using a combination of 
        stocks and options"

by

TSANG Gin Yui

Abstract:

The Dynamic Hedging (DH) strategy proposed in this thesis is a strategy 
that can improve return per unit risk. DH strategy is a combination of 
three independent strategies that can profit in different market 
condition. To verify the DH strategy's effectiveness, we backtested the 
system on the SPDR S&P 500 Trust ETF (SPY) from December 2013 to May 2020. 
Our test result shows that DH strategy outperformed SPY in annual return, 
Sharpe ratio and Calmar ratio. Our research also includes a practical 
approach to implement an equity-options backtesting engine in Python.


Date            : 29 January 2021 (Friday)

Time            : 14:00 - 14:40

Advisor         : Dr. David Rossiter

2nd Reader      : Prof. Dik Lee