Janus Henderson’s US-based Multi-Asset Solutions Team present their latest Tail Risk Report, using options market prices to infer expected tail gains and losses for each asset class.
- Will there be a V-shaped recovery as markets pick themselves up after the coronavirus free fall? Our options-based signals are indicating that a V shape recovery may not be in store.
- One possible consequence of the rapid build-up in public debt and liquidity is inflation and the options market is worried about this, with the tail-Sharpe ratio of inflation assets higher than other assets.
- We have noted large improvements in the tail-Sharpe ratio for airlines and hotels, two sectors most impacted by lockdown measures, as well as a decrease in left tail risk. These trends suggest that bankruptcy risk may be off the table for these sectors.