Tail Risk Protection to be Discussed at 3-Day RMC Europe

Tail risk protection will be one of the many topics to be discussed at CBOE’s inaugural Risk Management Conference (RMC) in Europe. Now in its 28th year in the U.S., the first RMC Europe will be held on 5 – 7 September 2012 at The Ritz-Carlton Powerscourt, County Wicklow, Ireland.

The conference agenda and registration information are at www.cboermc.com/Europe

The panel on Tail Risk Protection will discuss —

– Why and how investors might hedge downside risk

– The case for hedging as an offensive strategy in today’s market

– Determining acceptable levels of protection and costs

– Strategy alternatives for implementing hedges.

Moderator: Ryan McRandall, Portfolio Manager, AXA Investment Managers

Panelists —

> Alex Capez, Portfolio Manager, Occitan Capital Partners

> Fabio Castaldi, Head of Absolute Return, Amundi Asset Management

> Sandy Rattray, Head of Man Systematic Strategies, Man Group

> Chris Rodarte, Portfolio Manager, Pine River Capital Management



The first chart below shows October 2008, a month in which the S&P 500 Index dropped by 16.8%.  The spot gold price and the S&P GSCI commodity index also experienced steep declines that month, and some investors have lamented the fact that, as the stock indexes fall, many other indexes tend to go down, and correlations among indexes tend to rise. However, the VXTH Index actually rose that month.


Exhibit D of the paper by Asset Consulting Group – “Key Tools for Hedging and Tail Risk Management” (February 2012, available at www.cboe.com/benchmarks) shows the performance of three indexes –


Investors might re-think some traditional diversification strategies after seeing the charts above.

To learn more about tail risk protection, please consider:

> reading the February 2012 paper by Asset Consulting Group at www.cboe.com/benchmarks

> registering to attend RMC Europe at www.cboermc.com/Europe