A SQUARE :: 13Jun07 Systematic Absolute Return’s Survey Findings
Fabrizio Ladi Bucciolini
When compared with other hedge fund strategies, there is no real difference in how tail risk is defined in the asset finance space. A closer look at the tail events in certain option arbitrage strategies, tend to show a similar profile - high Sharpe ratios, no negative months, uncorrelated returns - until a tail event strikes. To make my point, it is the cause(s), not the structure of the outcome that tends be the real differentiator.