ABOUT THIS STRATEGY
The strategy seeks to dynamically allocate investments based on both potential downside (expected tail loss) and upside (expected tail gain) to lose less in declining markets, participate in the upside to capture tail gains, and earn attractive absolute or relative returns.
INVESTMENT APPROACH
Designed to Maximize Compound Returns
The portfolio seeks to maximize compound returns by mitigating large tail losses and by profiting from large tail gains.
Forward Looking Measures of Risk
We deduce forward-looking estimates of tail losses and tail gains from options market prices. We allocate towards assets that are expected to have limited tail losses and a high tail gain-to-tail-loss ratio.
Absolute Return
Given the multi-asset approach and absolute return orientation, the strategy aims to exhibit lower volatility than equities and bonds.
Featured Insight
January 2020 | Global Perspectives | Investment Outlooks | Tail Risk
Tell Tail Signs: Inflation Potential Shows Little Sign of Abating
Each month, the Adaptive Multi-Asset Solutions Team provides an asset class outlook using options market prices to infer expected tail gains and tail losses.
Featured Insight
April 2020 | Global Perspectives | Investment Outlooks | Tail Risk
Tell Tail Signs: The Post-Crisis Recovery -- V or a W?
Each month, the Adaptive Multi-Asset Solutions Team provides an asset class outlook using options market prices to infer expected tail gains and tail losses.
