PT - JOURNAL ARTICLE AU - Jérôme Gava AU - Francisco Guevara AU - Julien Turc TI - Turning Tail Risks into Tailwinds AID - 10.3905/jpm.2021.1.205 DP - 2021 Jan 18 TA - The Journal of Portfolio Management PG - jpm.2021.1.205 4099 - https://pm-research.com/content/early/2021/01/18/jpm.2021.1.205.short 4100 - https://pm-research.com/content/early/2021/01/18/jpm.2021.1.205.full AB - This study compares a broad range of risk models for managing multi-asset portfolios. The investment universe is extended to a range of systematic strategies with varying risk and return profiles. Focusing on risk parity portfolios, the authors show that considering tail risks can successfully reduce negative asymmetry and sharp losses. Extreme risk theory is of particular help in finding the right allocation to defensive systematic strategies in the portfolio.TOPICS: Portfolio construction, risk management, VAR and use of alternative risk measures of trading risk, tail risksKey Findings▪ This study compares a broad range of risk models for managing multi-asset portfolios.▪ The investment universe is extended to a range of systematic strategies with varying risk and return profiles.▪ Focusing on risk parity portfolios, the authors show that considering tail risks can successfully reduce negative asymmetry and sharp losses.