Janus Henderson: Tail Risk Report - Steady as you go
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.