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Alternative Market Briefing

This tail-risk manager does it without derivatives

Thursday, November 10, 2016

amb
George Sokoloff
Benedicte Gravrand, Opalesque Geneva for New Managers:

The co-founder of Carmot Capital talks about tail risk investing and current flash points.

Carmot Capital's Tail Risk Plus (Cayman) Ltd. was launched in June 2013, after having been implemented in actual trading in 2010. It was created by two PhD-holding investment professionals; CIO George Sokoloff, who used to be director and manager at Bailard, a multi-asset portfolio manager in California, and partner Gerd Infanger, who is also CEO of Infanger Investment Technology, an investment adviser which has more than $500m assets under management. Together, they assembled a team of Silicon Valley data scientists to help run the strategy from their Palo Alto, California-based firm.

The tail risk strategy is designed to outperform commonly-used tail risk strategies, and has not had a down year except for 2014. It employs a systematic algorithm-driven approach to take long and short positions in publicly traded stocks in global markets.

Misconception about tail-risk strategies Traditional portfolio strategies typically follow the idea that market returns follow a normal distribution. However, the concept of tail risk suggests that the distribution of returns is not normal, ......................

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