Janus Henderson: Tail Risk Report - Steady as you go

Ashwin Alankar is Head of Global Asset Allocation at Janus Henderson Investors.
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Janus Henderson's US-based Multi-Asset Solutions Team present their latest tail risk report, using options market prices to infer expected tail gains and losses for each asset class.

26.09.2018 | 14:27 Uhr

Current tail-based sharpe ratios suggest that, in general, the level of expected upside to downside for equities remains in line with historic averages, while inflation-sensitive assets sit at an average level of attractiveness.

Key takeaways:

  • According to options signals, levels of expected upside to downside are consistent with historic averages.
  • It is important to keep a close eye on inflation, as the team believe that inflation is a risk factor that could encourage the beginning of a bear market.
  • Options signals suggest the continued strength of the US dollar.

Tail Risk Report September 2018

Please click here to access the "Tail Risk Report".

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