Mulling, mostly, but if … you run a tail-risk ETF, and we’re having an epochal tail risk, and you’re only up 15% as said tail … unwinds(?), something may be awry with your de-risking of tails—especially given that the aforementioned gain only brings investors back to slightly above where they were eight months ago.
Relatedly: Over the coming weeks, expect a lot of stories about people blowing up while assiduously protecting themselves from blowing up.
Speaking of hedging tail risks, in the worst winter in years, during March break, with traffic off because of virus worries, Mammoth just had a massive power outage forcing it to shut down the mountain and give out rain checks. Wonder which business analyst at Mammoth modeled that scenario out? I’m going to go with “No-one”. Granted, hard to anticipate, but where’s the fun in hedging tail risks if you imagine weird stuff?
Anyway, when hundred-year storms happen every second Tuesday after lunch, you have a periodicity mismatch. Worth remembering.