Investors taking stock of the coronavirus fallout and recent market volatility have begun exploring tail-risk-hedging strategies as a way to protect against further drawdowns. What are the potential costs and benefits of hedging against tail risk?

This Model Insight describes the introduction of private asset models into the time-series-based RiskMetrics’ RiskManager. The framework consistently combines the Barra Private Asset Models, based on low-frequency private asset returns, alongside the high-frequency models of other asset classes.