Tail Risk Report - we see softness ahead...



​​​Janus Henderson's US-based Multi-Asset Solutions Team presents their latest Tail Risk Report, using options market prices to infer expected tail gains and losses for each asset class. This explains that expected tail loss levels are moving towards their longer-term averages and the so-called “great moderation” may be a thing of the past.

Key takeaways:

  • US stocks are now the most attractive region globally compared to last month when non-US equities looked more attractive.
  • Both the upside and downside risks to equities increased sharply from last month.
  • The team are not overly concerned by the speed at which this happened, believing it to have been driven by the US mid-term elections. Furthermore, the risk levels are not flashing a “recessionary/structural” type of drawdown that does not self-correct.
Please note this document is as at 31 October 2018.


Please click on the link to access the document.

These are the views of the author at the time of publication and may differ from the views of other individuals/teams at Janus Henderson Investors. Any securities, funds, sectors and indices mentioned within this article do not constitute or form part of any offer or solicitation to buy or sell them.

Past performance is not a guide to future performance. The value of an investment and the income from it can fall as well as rise and you may not get back the amount originally invested.

The information in this article does not qualify as an investment recommendation.

For promotional purposes.


Important message