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CUSTOMIZED LEFT TAIL

Designed to provide ‘insurance’ protection for extreme equity portfolio draw-down in volatile markets, this strategy is implemented as an overlay on an index portfolio and customized to support portfolio objectives of meaningfully higher exposure to equity indexes to blunt the impact of the low fixed-income environment with a proven index enhancement tool.

A customized holistic Left Tail solution is designed to:

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  1. Increase value during crises

  2. Maintain high liquidity

  3. Impactfully reduce overall volatility and draw-down

  4. Cost-effective relative to other forms of hedge ‘Insurance’

Deep Blue Asset Protection Group works closely with its institutional investor/partners to customize solutions. The institutional investor/partners investment committees set objectives up-front for systematic profit-taking and strategy implementation. These objectives are based on portfolio risk and exposure parameters including:

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  • Attachment point, trigger check, horizon – affects roll positions to maintain hedge effectiveness.

  • Degree of basis risk tolerance – necessary to enable efficient trading in options markets that are deep, liquid, and sensitive to systemic macro events.

  • Active Management parameters: monetization, extension, rotation, substitution, and use of futures to manage delta within guideline targets.

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