Tail Risk(by Kara Greenberg) - 趙永祥的數位歷程檔

Tail risk is a form of portfolio risk that arises when the possibility that an investment will move more than three standard deviations from the mean is greater than what is shown by a normal distribution.

Tail risks include events that have a small probability of occurring and occur at both ends of a normal distribution curve. While tail risk technically refers to both the left and right tails, people are most often concerned with losses (the left tail).

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Why is 'Tail Risk' the Term of the Day?

BofA Global Research

As inflation in the U.S. begins to show signs of easing, fund managers have become slightly more optimistic, according to Bank of America’s August survey of global fund managers.

The survey found that while sentiment remained bearish, it was no longer “apocalyptically bearish,” as expectations for global growth showed slight improvement from last month’s all-time low. For the first time since August of 2020, investors said growth stocks will outperform value over the next year. The share of investors anticipating deteriorating profits also eased from last month’s high, with 88% saying they expect inflation to continue falling.

However, concerns about recession risks remained high, with over half or 58% of respondents saying they anticipate a recession within the next 12 months. Inflation remained the biggest tail risk to portfolios identified by fund managers (39%), followed by a global recession (24%), and hawkish central bank action (16%).

-Kara