These ETFs Have The Best Value for Three-month Drawdowns among Global Equities
Below are the best “bang-for-your-buck” tail hedging ETTs, according to Barclays’ $Equity(EQR)$ Research, published on Thursday.
The screen shows the best and worst among a universe of 29 cross-asset ETFs with liquid options for the best equity downside hedges, the report said.
Barclays identified the top 10 drawdowns in any three-month non-overlapping period since 2008 for global equities. They also calculated the rank based on the average ratio of historical drawdowns over the current three-month, 25-delta puts.
Green shows the highest put payout ratios at current costs for the top 10 global equity drawdowns, the ones in red show the lowest.
“At current costs, short-dated puts on Financials (XLF), Industrials (XLI), and Russell 2000 (NYSEARCA:IWM) would have offered the best value for historical three-month drawdowns in global equities,” Barclays strategists said.
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