Transcription of Tail Risk Hedging - Graham Capital
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Tail Risk Hedging - Graham Capital
Graham Capital ManagementResearch Note, October 2017 Tail Risk HedgingKshitij Prakash1 AbstractMany investors have significant long equity market exposure and seek effective portfolio protection. Several strategiesfor tail risk Hedging have been proposed to provide downside protection in equity market sell-offs, notably a) increasingfixed income allocation, b) buying protective puts through the sale of out-of-the-money calls (collars), c) Hedging usingVIX futures, and d) allocating to Managed Futures or other alternative risk premia strategies. In this paper we examinethe popular strategies for tail risk Hedging and highlight the cost-benefit of Risk; Hedging ; Diversification; Trend Following1 Quantitative Research Manager1.
Graham Capital Management Research Note, October 2017 Tail Risk Hedging Kshitij Prakash1 Abstract Many investors have significant long equity market exposure and seek effective portfolio protection.
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