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23 Σεπ 2021 · Tail Risk Hedging Performance: Measuring What Counts. This Revised Version: September 23, 2021. Abstract. We discuss the importance of using an alternative set of metrics for measuring the historical performance of tail risk hedging portfolios in particular, and for any strategy with levered payoffs in general.
21 Οκτ 2024 · Cambria Tail Risk ETF seeks to mitigate downside market risk by purchasing a portfolio of "out of the money" put options on the S&P 500 Index, as well as U.S. Treasuries to potentially provide income. Why TAIL? Laddered put options on the S&P 500 Index to offer a potential hedge against market exposure.
9 Μαρ 2021 · Several exchange-traded products claim to provide tail risk insurance or attempt to inverse the performance of indices. We compare several ETPs against a popular S&P 500 index ETF.
25 Οκτ 2024 · The performance data shown in tables and graphs on this page is calculated in GBX of the fund/index/average (as applicable), on a Bid To Bid / Nav to Nav basis, with gross dividends...
Long volatility fund managers take a net long view on implied volatility with the goal of positive absolute return, while tail risk fund managers specifically aim to generate substantial returns during periods of market distress.
30 Ιουν 2022 · HFM has been tracking institutional investors and found that pension funds, in particular, are allocating 2% to 4% of their assets under management to tail-risk strategies.
Comparing across risk models, we observe the best risk-adjusted performance (measured by the Sharpe ratio) and downside risk measures (measured by the Calmar ratio) for the copula-GARCH (CG), the hybrid GAS/GARCH, (Hyb-GAS) and the FZ loss approach (FZ).
