Sentences with phrase «tail risk hedging»

Vineer Bhansali's Tail Risk Hedging: Creating Robust Portfolios for Volatile Markets takes on the question of diversification.

The Janus Velocity Tail Risk Hedged Large Cap ETF (TRSK) and the Janus Velocity Volatility Hedged Large Cap ETF (SPXH) are set to see their last day of trading on March 20.

I may not have exotic tail risk hedged out the wazoo, or try to necessarily bet against the idiotic & irrational, but my goal is to consistently seek out stocks, markets & asset classes which (ideally) offer the most attractive risk / reward equation, in terms of absolute value (not relative value).

Not exact matches

For traders looking for volatility - based protection, the strategists recommend going long the SGI US Equity Tail Risk Index, which hedges long equity exposure.

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.

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 condition.

That's a source of concern at present, and but it's enough to maintain a rather neutral immediate outlook provided that safety nets and tail - risk hedges are kept within several percent of current extremes.

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.

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.

The authors find that the buy — write strategies» risk - adjusted performance was earned from a combination of a skewness premium, paid to the option writers for assuming the tail risk of potentially unlimited loss, and the reduction in volatility from the hedge of the buy - and - hold security's beta exposure.

I guess I went into it with the idea that the current portfolio being so sensitive to market moves (beta significantly greater than 1 because of the large concentration in AIG, BAC warrants), I was willing to lose the entire cost of the hedge for the slight chance of major tail risk.

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.

This prompted us to think that VIX futures may hold tail - risk hedging opportunities for high yield bond portfolios.

The only really good method for hedging tail risk is to buy puts or perhaps do a more complex put spread.

The 22 August 2011 article Saving your portfolio's tail — at a price contrasts James Montier view on not buying expensive tail risk insurance to that of Diversified Global Asset management, a Canadian fund manager that successfully used tail risk insurance to hedge his portfolio from the volatility in early August 2011.