The Yieldy Put: To Infinity and Beyond Bonds

Man Group

Yash Panjabi, Graham Robertson

Research

8 Pages

This piece explores whether combining trend-following and long/short quality (L/S quality) strategies can enhance portfolio defensiveness without sacrificing positive returns. The authors argue that this “yieldy put” structure may outperform traditional bond-based hedges in certain market environments.

Key Takeaways

New defensive pair emerges: L/S quality and trend-following strategies historically performed well in crises while maintaining positive carry in normal markets
Improved portfolio balance: A 50/50 blend with a traditional 60/40 portfolio more than doubled the Sharpe ratio and cut drawdowns from 32% to 6%
Reduces reversal risk: The combined strategy helps mitigate the downside from trend reversals and complements equities in both risk-off and risk-on periods
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