Forfattere: Aneta Janiczková & Ferenc Hajosi

This article examines whether actively managing tail risk can improve the risk-adjusted performance of an equity portfolio compared to a passive Buy & Hold strategy. It introduces the VaR Spread strategy, which adjusts stock market exposure based on a simple signal – the difference between standard Value-at-Risk and a more extreme, heavy-tailed Value-at-Risk estimated using Extreme Value Theory. When this gap increases, it signals higher tail risk and leads the strategy to exit the equity market entirely, allocating the portfolio to cash. Using backtests from 2002–2023, the strategy achieved a 48%
higher Sharpe ratio and a 31% lower maximum drawdown than a passive strategy. The results suggest that responding to rising tail risk can improve long-term performance, although trading costs and model reliability remain important practical constraints.

Udgivelse: 2026 – nr. 3
Antal sider: 5