Investors are always in search of diversifying securities and strategies to assist in downside risk management. We consider six popular diversifying securities, i.e. Gold, Swiss Franc, Japanese Yen, Bond Futures, S&P 500 80% strike Put Options, and Trend Following strategies in this paper. Using...

We discuss the importance of using proper metrics for measuring the historical performance of tail risk hedging portfolios in particular, and for any strategy with levered payoffs in general. It is our view that simply using historical compounded returns when the payoffs may be multiples of the...

Option prices theoretically encapsulate participants' expectations about good state (bullish) and bad state (bearish) market outcomes. By using a mixture of distributions and reasonable assumptions, the authors extract time series of expected returns, volatilities and mixture probabilities of...

We discuss monetization strategies for both “Left” and “Right” tail risk hedging to illustrate potential benefits of active management of hedges. In particular, by including actual data from the sharp COVID-19 pandemic related market correction and subsequent rebound of 2020 we quantify...