Tail Risk Hedging: Theory and Practice

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9781782720805: Tail Risk Hedging: Theory and Practice
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Tail Risk Hedging: Theory and Practice is essential reading for investors who want to improve their understanding of this investment strategy and its role and place in institutional portfolios in order to choose successful asset allocation, portfolio construction and hedging strategies.

Since the global financial crisis, investors have been faced with the difficult question of how to generate returns in a more uncertain and volatile environment while controlling the potential downside. Traditional risk control methods such as diversification have been shown to have limits and as a result tail risk hedging has emerged as one possible answer, with several investment managers reporting the tail risk hedging business to be their fastest area of asset growth in the wake of the crisis.

This is the first ever edited volume on tail risk hedging, which can serve as a primer and an authoritative guide for institutional investors. Edited by leading experts in the area Andrew Rozanov and Ryan McRandal, based at Permal and Peters Capital Group respectively, the book brings together a representative cross-section of views from practitioners who are active in the space. Chapters include:

- An Introduction to Tail Risk Hedging
- Strategic Tail Risk Management: a Pension Fund s Perspective
- An Asset Allocator s Approach to Tail Risk Hedging
- A Systematic Approach to Tail Risk Hedging

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About the Author:

Andrew Rozanov is Managing Director and Head of Institutional Portfolio Advisory at Permal Group, responsible for advising sovereign wealth funds and other long-term institutional investors on various aspects of asset allocation, portfolio construction, risk management and alternative investments, with a particular focus on global macro and tail risk strategies.

Before joining Permal, Andrew was at State Street, where he was Managing Director and Head of Sovereign Advisory, working closely with the Portfolio and Risk Management Group. Prior to that, he held various roles at State Street Corporation in London and Tokyo, and he also worked at UBS Investment Bank in Japan. Andrew is well known in the industry for having introduced the term sovereign wealth funds in an article in Central Banking Journal in 2005. In 2012, he published a highly acclaimed book Global Macro: Theory and Practice. He is a Chartered Financial Analyst (CFA), a Financial Risk Manager (FRM), and a Chartered Alternative Investment Analyst (CAIA). He holds a Master s equivalent degree in Asian and African Studies from Moscow State University.

Ryan McRandal is currently a Portfolio Manager at Peters Capital Group, a global macro firm that builds and implements bespoke investment portfolios for institutional clients. These portfolios are thematic in nature and cover a range of unique investment objectives including tail risk hedging in equities and interest rates. Ryan was formerly the Head of Thematic Portfolio Management at AXA Investment Managers. His focus was on creating customized solutions and building thematic portfolios for institutional clients, particularly in areas such as macro convexity and hedging equity risk. Ryan launched and managed the first institutional fund of tail hedging strategies in the world, the award winning AXA Alternative Tail Hedge fund. Ryan was also responsible for hedge fund allocation as well as private equity, impact investing and real estate solutions and oversight. Prior to joining AXA IM, he worked for four years as the Head of Research at Unifortune Asset Management, a multi-year award-winning hedge fund boutique. Prior to that role, he was a derivatives trader. At Swiss Re Capital Markets, London, he held a Vice President position on a fixed income treasury and trading desk. He has also been a derivatives trader at WestLB in London. At WestLB he was part of the Cross Market Derivatives Arbitrage Group and has multi-assetclass derivatives expertise having traded across interest rates, foreign exchange and emerging market credit derivatives. Ryan graduated with a first-class, honors, degree in International Securities, Investment and Banking from the ICMA Centre s specialist business school for financial markets, University of Reading.

Review:

The definitive source for any investor considering tail hedging. The expertise of writers (and editors!) shines through in every chapter. By showcasing the institutional users' frameworks to assess the role of tail hedging in their portfolios as well as a range of diverse solutions offered by major tail hedge providers, the book gives a comprehensive picture of the menu of possibilities, with pros and cons on each. --Antti Ilmanen, Principal at AQR Capital Management and author of Expected Returns.

Tail Risk Hedging is as important as it is timely. As yields and spreads in developed markets touch all-time lows and volatility across asset classes is crushed under the weight of global central bank intervention, it is all-too easy for investors to overlook the risks building quietly around them. With contributions from many of the industry's most thoughtful tail risk practitioners, Rozanov and McRandal have compiled an insightful and well rounded book that may turn out to be the most important addition to your investment library this year and next. --Luke Dixon, Co-Head of Public Market Manager Selection at USS Investment Management.

Rozanov and McRandal have assembled a preeminent cast of experts to tackle the hugely important challenge of tail risk hedging. Their introductory chapter offers a concise, but hardly superficial, overview of the topic, which is followed by a series of targeted analyses from the perspectives of both asset owners and managers. Anyone who worries about large drawdowns should keep this book close at hand. --Mark Kritzman, President and CEO of Windham Capital Management and Senior Lecturer at MIT Sloan

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