New Paper on Key Tools For Hedging and Tail Risk Management

Bonita Springs, FL – March 12, 2012 – Today Mr. Mitch Boraz, Senior Consultant at the Asset Consulting Group of St. Louis presented a new paper — “Key Tools for Hedging and Tail Risk Management” — at CBOE’s 28th Annual Risk Management Conference (RMC)

The study, the second of two ACG papers commissioned by CBOE, compares the performance of “traditional” indexes with the performance of five strategy benchmark indexes that use index options or VIX® futures.

Below is some key information from the new paper..

Please visit for links to papers by consulting firms.

Here are main highlights of the study:

  • Left Tail Risk in the Past 25 Years: The study showed that over the past 25 years, the worst monthly loss for the S&P 500 Index was a decline of 21.5 percent, compared to a decline of 28.2 percent for the S&P GSCI (commodity) Index, and a relatively modest 8.6-percent monthly decline for the CLL Index.
  • Tail Risk and Diversification in 2008: In 2008, the S&P 500® Index declined by 37 percent; the VXTH Index (with an allocation to stocks and VIX options) declined by 19.3 percent; and the VXMT Index increased by 83.9 percent.
  • Lower Volatility: The CLL Index has incurred about 70 percent of the volatility of the S&P 500 over the last 26 years. Select portfolios with the VXTH and the futures-based indexes have had less volatility than the S&P 500 over the last 70 months.
  • Enhanced Returns for Portfolios: Portfolios with small allocations to the futures-based indices and the VXTH had higher returns and lower volatility than the S&P 500.

Note the annual performance for various indexes in 2008 and in other years.

Please visit for links to papers by consulting firms

The posts on this blog are opinions, not advice.
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One Trackback

  1. By Black Swan tail risk | Wall Street Stocks on April 5, 2012 at 11:17 pm

    […] Black Swan Fund, fear still love the large consumptionHedging Tail Risks by SocgenTail Risk and Your Retirement PlanningNew Paper on Key Tools For Hedging and Tail Risk Management […]

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