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.
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.
Given the multi-asset approach and absolute return orientation, the strategy aims to exhibit lower volatility than equities and bonds.