Investment Overview
Strategy Description
Our Tail Strategy seeks to provide protection against not only market stresses, but protection against crowded trades. For those running active strategies, long-biased strategies, or even beta-neutral, broad market hedging is necessary, and sometimes, not quite enough. Often, a specific factor will experience a stress event while the broader market will go unscathed (or lose much less). According to our research, when a typical long-only strategy that is biased toward the momentum factor experiences a daily return of -1.00% or worse, around 7-8% of those times, broad market indices do not experience a concurrent drawdown. This is most notable in the momentum factor, but also applies to other factors, popular levered beta neutral portfolios, and a handful of other strategies.
