Fri, Jan 20, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Understanding tail-risk hedges and funds - part four

Monday, August 06, 2012

Bailey McCann, Opalesque New York:

Last week we discussed how portfolio protection has evolved from initial theories of portfolio insurance to newer theories such as hedging left tail-risk and how to structure this type of hedge. This week we will continue our discussion of structure to include more controversial options such as derivatives, and volatility.

Structure, part 2

Left tail-risk is often discussed in terms of an equities focused portfolio, however, the potential for a tail event exists across investments - equities, credit, commodities and fixed income. Individual investors may opt to examine or "hedge out" those risks ahead of investment in a given fund or within their existing portfolio in order to effectively size a tail-risk hedge. Dynamic sizing is an important structural component of this type of hedge in order to realize maximum protection during a tail event and control cost before an event strikes.

Funds of hedge funds do this on a bigger scale by constructing portfolios made up of different funds and different risk profiles toward a broader set of investment objectives. In this case, they look at tail-risk at both the macro and micro level. "We have an integrated risk management program, on one hand its independent from the investment committee on the other hand it's integrated into how we pick managers and thei......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally, Hedge fund legend David Einhorn is making a big bet on GM, After impressive 85% return in 2016, hedge fund looks to Canadian gold producer, small banks[more]

    This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally From Forbes.com: Can bank stocks continue to rise after a 28% surge in the KBW Bank Index in 2016, fueled by a post-election rally as stock pickers returned to the beaten down sector? Forget the s

  2. SWFs - China sovereign wealth fund CIC plans more U.S. investments[more]

    From Reuters.com: China Investment Corporation (CIC), the country's sovereign wealth fund, is looking to raise alternative investments in the United States due to low returns in public markets, its chairman said on Monday. CIC will boost its investments in private equity and hedge funds as wel

  3. Some hedge funds strong start in 2017 nice contrast to 2016[more]

    With the 2016 HSBC Hedge Weekly performance rankings in the books - a year in which the same leader-board entries pretty much dominated unchallenged throughout the year - comes a new leader board that is a hard-scrabble mix of hedge fund styles and categories. What is clear after but a few short wee

  4. Macro hedge funds and CTAs outperform in December on strong dollar[more]

    Komfie Manalo, Opalesque Asia: The last month of 2016 saw risk assets climbing higher, as part of expectations that the new U.S. administration will remove barriers to growth and investment, Lyxor Asset Management said. December also saw the Fed hik

  5. Opalesque Exclusive: Roxbury credit events UCITS gathers more assets[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The Roxbury Credit Events Fund, launched in September 2015, was up 4.24% in 2016, having returned seven positive months during the year. The managers raised