Long volatility and tail risk strategies outshined their peers as equities and oil slumped in February – ValueWalk Premium
tail risk strategies

Long volatility and tail risk strategies outshined their peers as equities and oil slumped in February

Equal-weighted and asset-weighted hedge fund performance

Q4 2019 hedge fund letters, conferences and more

tail risk strategies

Hedge fund managers were down 1.70% in February as the development of the COVID-19 outbreak outside of Mainland China weighed on risk assets throughout the month. More than 90% of the hedge fund managers were able to outperform the global equity market during the month, exemplifying the downside protection afforded by hedged strategies as opposed to long-only portfolios.

The CBOE Eurekahedge Long Volatility Hedge Fund Index and the CBOE Eurekahedge Tail Risk Hedge Fund Index returned 8.60% and 14.05% respectively in February. The two strategies are known to provide crisis alpha and tail risk protection for institutional portfolios.

Hedge fund performance by region (2020 YTD)

tail risk strategies

Hedge fund performance by strategy (2020 YTD)

tail risk strategies

Performance across asset classes (February 2020 YTD)

tail risk strategies

tail risk strategies

Article by Eurekahedge


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