Holy grail distribution

The distribution of historical returns of most asset classes and investment managers is negatively skewed and exhibits fat left tail (abnormal negative returns).

[1][2] Asset classes tend to have strong negative returns when stock market crises take place.

For example, in October 2008 stocks, most hedge funds, real estate and corporate bonds suffered strong downward price corrections.

At the same time vehicles following the Holy Grail distribution such as US dollar (as a DXY index), treasury bonds and certain hedge fund strategies that bought credit default swaps (CDS) and other derivative instruments had strong positive returns.

Protection of a diversified investment portfolio from market crashes (extreme events) can be achieved by using a tail risk parity approach,[3] allocating a piece of the portfolio to a tail risk protection strategy,[4] or to a strategy with Holy grail distribution of returns.