The main purpose behind holding these options is hedging a portfolio against significant negative movement in the value of US equities, commonly referred to
as tail risk.
Not exact matches
But we expect to be in a better place by mid 2013,
as BofAML economists expect a bottoming in China growth, reduced
tail risk from Europe, and a multi-stage fix to the Fiscal Cliff.»
When SPY's 20 - day realized volatility is above 20 %, the
tail risks of overnight returns are about the same
as those of close - to - close returns.
Even so, I believe that it's essential to carry a significant safety net at present, and I'm also partial to
tail -
risk hedges that kick - in automatically
as the market declines, rather than requiring the execution of sell orders.
We see volatility and dispersion rising to normalized levels
as the Fed lifts rates and markets pay more attention to lurking
tail risks.
As I've regularly noted in recent months, our immediate outlook is essentially flat neutral for practical purposes, though we're partial to a layer of tail - risk hedges, such as out - of - the - money index put options, given that a market decline on the order of even 5 % would almost certainly be sufficient to send our measures of market internals into a negative conditio
As I've regularly noted in recent months, our immediate outlook is essentially flat neutral for practical purposes, though we're partial to a layer of
tail -
risk hedges, such
as out - of - the - money index put options, given that a market decline on the order of even 5 % would almost certainly be sufficient to send our measures of market internals into a negative conditio
as out - of - the - money index put options, given that a market decline on the order of even 5 % would almost certainly be sufficient to send our measures of market internals into a negative condition.
As always, we debate potential «
tail risks» associated with our views.
A
tail risk can produce devastating financial crisis if it is concentrated in important financial institutions, such
as banks and securities companies, who then must bear the brunt of the losses.
Actual results may vary materially from those expressed or implied by forward - looking statements based on a number of factors, including, without limitation: (1)
risks related to the consummation of the Merger, including the
risks that (a) the Merger may not be consummated within the anticipated time period, or at all, (b) the parties may fail to obtain shareholder approval of the Merger Agreement, (c) the parties may fail to secure the termination or expiration of any waiting period applicable under the HSR Act, (d) other conditions to the consummation of the Merger under the Merger Agreement may not be satisfied, (e) all or part of Arby's financing may not become available, and (f) the significant limitations on remedies contained in the Merger Agreement may limit or entirely prevent BWW from specifically enforcing Arby's obligations under the Merger Agreement or recovering damages for any breach by Arby's; (2) the effects that any termination of the Merger Agreement may have on BWW or its business, including the
risks that (a) BWW's stock price may decline significantly if the Merger is not completed, (b) the Merger Agreement may be terminated in circumstances requiring BWW to pay Arby's a termination fee of $ 74 million, or (c) the circumstances of the termination, including the possible imposition of a 12 - month
tail period during which the termination fee could be payable upon certain subsequent transactions, may have a chilling effect on alternatives to the Merger; (3) the effects that the announcement or pendency of the Merger may have on BWW and its business, including the
risks that
as a result (a) BWW's business, operating results or stock price may suffer, (b) BWW's current plans and operations may be disrupted, (c) BWW's ability to retain or recruit key employees may be adversely affected, (d) BWW's business relationships (including, customers, franchisees and suppliers) may be adversely affected, or (e) BWW's management's or employees» attention may be diverted from other important matters; (4) the effect of limitations that the Merger Agreement places on BWW's ability to operate its business, return capital to shareholders or engage in alternative transactions; (5) the nature, cost and outcome of pending and future litigation and other legal proceedings, including any such proceedings related to the Merger and instituted against BWW and others; (6) the
risk that the Merger and related transactions may involve unexpected costs, liabilities or delays; (7) other economic, business, competitive, legal, regulatory, and / or tax factors; and (8) other factors described under the heading «Risk Factors» in Part I, Item 1A of BWW's Annual Report on Form 10 - K for the fiscal year ended December 25, 2016, as updated or supplemented by subsequent reports that BWW has filed or files with the
risk that the Merger and related transactions may involve unexpected costs, liabilities or delays; (7) other economic, business, competitive, legal, regulatory, and / or tax factors; and (8) other factors described under the heading «
Risk Factors» in Part I, Item 1A of BWW's Annual Report on Form 10 - K for the fiscal year ended December 25, 2016, as updated or supplemented by subsequent reports that BWW has filed or files with the
Risk Factors» in Part I, Item 1A of BWW's Annual Report on Form 10 - K for the fiscal year ended December 25, 2016,
as updated or supplemented by subsequent reports that BWW has filed or files with the SEC.
In their November 2017 paper entitled «
Tail Risk Mitigation with Managed Volatility Strategies», Anna Dreyer and Stefan Hubrich examine usefulness of managing volatility in this way
as applied to the S&P 500 Index over a long sample period and across a range of performance measurements.
As you can see from the chart, the additional risk reducing benefit of diversification tails off as we add ever more securities to a home market portfoli
As you can see from the chart, the additional
risk reducing benefit of diversification
tails off
as we add ever more securities to a home market portfoli
as we add ever more securities to a home market portfolio.
We define them
as those who responded «Agree» or «Strongly Agree» to three questions: «
Risk management is an integral part of our investment process and actively addressed on a systematic, ongoing basis», «My organization has a strong risk management culture», and «I am confident that our portfolio has appropriate downside protection for the next tail event.&ra
Risk management is an integral part of our investment process and actively addressed on a systematic, ongoing basis», «My organization has a strong
risk management culture», and «I am confident that our portfolio has appropriate downside protection for the next tail event.&ra
risk management culture», and «I am confident that our portfolio has appropriate downside protection for the next
tail event.»
As such, even the numerous optimists seem aware of the asymmetrical
tail risk associated with the first arrow (monetary).
As I've regularly noted in recent months, our immediate outlook is essentially flat neutral for practical purposes, though we're partial to a layer of
tail -
risk hedges.
Showy ornaments used by the male of the species in competition for mates, such
as the long
tail of a peacock or shaggy mane of a lion, could indicate a species»
risk of decline in a changing climate, according to a new study from Queen Mary University of London (QMUL).
Peter (voiced by James Corden) is playful and charming, and so driven to get his hands on the vegetables in the McGregor garden that it not only puts his family — which includes triplets Flopsy (voiced by Margot Robbie), Mopsy (voiced by Elizabeth Debicki) and Cotton -
tail (voiced by Daisy Ridley),
as well
as cousin Benjamin (voiced by Matt Lucas)-- at
risk, but jeopardizes the budding relationship between new neighbor Thomas McGregor (Domhnall Gleeson) and sweet animal lover Bea (Rose Byrne), who watches out for the rabbits.
The fuse is there to protect items from getting too much juice, so increasing the fuse rating to allow for a brighter headlight will also mean that other items (possibly your horn, blinkers,
tail / brake light etc.) at greater
risk of overload
as well.
And that's the thing —
as long
as there are bear markets there will be active managers implementing strategies designed to reduce
tail risk in portfolios.
As such, the government holds the
tail risk of the mortgage market imploding already; why not make this insurance explicit, while also regulating and pricing it?
They measure portfolio performance conventionally (Sharpe ratio), via effects on portfolio return distribution skewness and kurtosis (
as an indicator of
tail risk) and with investor utility metrics.
In their November 2017 paper entitled «
Tail Risk Mitigation with Managed Volatility Strategies», Anna Dreyer and Stefan Hubrich examine usefulness of managing volatility in this way
as applied to the S&P 500 Index over a long sample period and across a range of performance measurements.
Most asset classes display negative skew and fat
tails, which also makes volatility problematic
as a
risk measure.
As of May 17, 2018 the Cambria
Tail Risk ETF MSCI ESG Fund Quality Score is 6.89 out of 10.
In the February 2013 draft of their paper entitled «Using Maximum Drawdowns to Capture
Tail Risk», Wesley Gray and Jack Vogel investigate maximum drawdown (largest peak - to - trough loss over a time series of compounded returns) as a simple measure of tail risk missed by linear factor mod
Tail Risk», Wesley Gray and Jack Vogel investigate maximum drawdown (largest peak - to - trough loss over a time series of compounded returns) as a simple measure of tail risk missed by linear factor mod
Risk», Wesley Gray and Jack Vogel investigate maximum drawdown (largest peak - to - trough loss over a time series of compounded returns)
as a simple measure of
tail risk missed by linear factor mod
tail risk missed by linear factor mod
risk missed by linear factor models.
I'm not suggesting my portfolio's some absolute return
tail -
risk hedged uber - vehicle (though I'm not averse to all that, resources permitting), I really mean it in the old - fashioned sense (& purpose) of a hedge fund — I worry
as much about preserving my wealth,
as I do about increasing my wealth.
I wrote a piece like it recently (not
as comprehensive, but possessing brevity): Chasing Your
Tail Risk.
Moreover, it helps to manage
risk more effectively by protecting against infrequent or unlikely but consequential negative events, often referred to
as «
tail risks.»
Before taking your animal in for an elective procedure such
as tail docking or ear cropping, it is important to talk with your veterinarian about the
risks of each medical procedure.
However, with a potential
risk of more severe problems, and the lack of a normal
tail raises serious questions
as to whether breeds should exist which rely on such deformities.
Tail docking, ear cropping, de-barking and declawing are strongly opposed
as the
risk of these elective procedures can lead to infection, ongoing pain and suffering, and even death.
Furthermore, I believe that the adoption / acceptance of the Precautionary Principle justifies the use of Bayesian methodology for determining the
risks of abrupt SLR, particularly
as there is only one AGW experiment that we can conduct on Earth this century, and thus there is no opportunity to conduct the repeatable observations that «Frequentists» demand in order to assess such «fat -
tailed»
risks.
I see using a long -
tail risk basis
as the same
as applying the precautionary principle: It's a
risk that can not be
risked.
Since a mean is an expected outcome, and
risk is thought of
as this outcome multiplied by the severity, you can understand why fat -
tails are taken seriously.
To be useful in a
risk context, climate change assessments therefore need a much more thorough exploration of the
tails of the distributions of physical variables such
as sea level rise, temperature, and precipitation, where our scientific knowledge base is less complete, and where sophisticated climate models are less helpful.
The most probable outcome (at least on the 100 year time scale) has
risks that are probably manageable, but
as Marty Weitzman at Harvard has pointed out, we need to pay attention to the
tail of the
risk distribution, because the economic and societal
risks can be very large there.
For example, the weakening of the THC under 1 degree of warming, a
risk of collapse for 3 degrees,
risk of irreversible melting of the Greenland Ice sheet at 2 degrees warming, sea level changes of 5 — 12 meters over several centuries, — these eventualities are debatable, and should certainly be viewed
as the «adverse
tail» of possible impacts.
After reviewing the gator party concept, the commission concluded that it was important to keep captive wildlife such
as alligators «under rigid supervision and control»
as they «pose -LSB--RSB- a serious public safety
risk and could result in scratching of persons, loosening of tape around its mouth, or unrestrained thrashing of its
tail.»
Thus, a driver who is stuck in a nose - to -
tail traffic jam but is stationary, will nevertheless be regarded
as «in the course of driving» and thus «driving» It is hard to imagine what the
risk of danger there is, in this situation, from a vehicle that is not moving.
Twitter has a tiger by the
tail — it has an active user base in the hundreds of millions, it has become an almost indispensable tool for both news junkies and the media (although this carries
risks as well) and it is starting to see some favorable responses to its ad model.