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Black Tail Strategy

TCG provides 2 types of Black Tail strategies:

Black Tail Arbitrage


An absolute return strategy designed for portfolio diversification

Black Tail Hedge


A tail risk strategy designed for hedging purposes. The Black Tail Hedge has twice the level of risk of Black Tail Arbitrage.

The Black Tail Strategy is based on empirical evidence that volatility markets remain highly inefficient and can offer structural arbitrage opportunities. It therefore focuses on dynamic tail risk protection across asset classes while mitigating its cost by arbitraging expensive options and volatility contracts and exploiting the short-term inefficiencies through trading with a long bias. TCG’s team long standing experience in volatility management uses a quantitative tool with a statistical approach to identify those opportunities. The team has also a discretionary allocation intervention and dynamically manages the risk budget based on market trends and regimes.