Fri, Feb 27, 2015
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. Opalesque Exclusive: Very small CTA averages 6.90% per month since April’14 inception[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: There aren’t many one-man shops around in the hedge fund world but we talked to one. Andrew S. Peskin, who is ba

  2. Opalesque Exclusive: Skënderbeg launches four single-manager funds with Your Wealth AG[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Skënderbeg Funds AGmvK, an investment fund for qualified investors under Liechtenstein law (umbrella fund),

  3. Opalesque Roundtable: Many Swiss investors are questioning the value proposition of hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva: There is a well-known transition among investors in hedge funds between high-net-worth individuals and institutional investors, Ian Hamilton, head of the IDS Group, said during the recent

  4. UCITS HFS Index starts year on positive note with 1.09% gains in January[more]

    Komfie Manalo, Opalesque Asia: The UCITS HFS Index started the year on a positive note gains of 1.09% in January after finishing 2014 with a modest performance of 1.62%. Index provider 2n20 said th

  5. Legal - Case builds against former New York hedge fund ‘Buddy’ Fletcher[more]

    From NYPost.com: Disgraced former hedge fund operator Alphonse “Buddy” Fletcher’s trail of broken promises and red ink just got a little longer. A Manhattan judge has ruled that the 49-year old investor owes his former law firm $2.7 million in unpaid legal bills. Add that to the more than $100