Equity Tail Protection Strategies Before, During, and After COVID-19
研究了COVID-19疫情前后四个市场阶段中四种常见的尾部风险对冲策略，发现对冲成本高、期权策略中的权益敞口变化带来风险，且是否进行Delta对冲会显著影响绩效。
Tail risk is usually an important consideration for investors, and a desire to limit catastrophic loss has led to significant interest in protection strategies. Across four distinct market periods surrounding the COVID-19 pandemic, the authors explore four common tail-risk mitigation strategies: (1) a put protection strategy, (2) a long volatility protection strategy using options, (3) a long VIX futures protection strategy, and (4) a long VIX call overlay. The authors’ analysis found that three main themes emerge. First, hedging is expensive. Second, the variable equity exposure embedded in option strategies is a source of risk and path dependence. Finally, a hedger’s decision on whether to delta-hedge an option exposure to isolate the option convexity, or to maintain an unhedged position, materially impacts performance in nonforecastable ways. The authors also acknowledge the number of well-reasoned arguments both in favor and against implementing tail-risk hedging strategies. They find that the dispersion of outcomes across only the few strategies explored in this article is notable and that there is likely no easy solution for tail-risk hedging. Those who implement protection strategies should plan for the possibility that their hedges make things worse in times of stress.