• In economics and finance, a holy grail distribution is a probability distribution with positive mean and right fat tail — a returns profile of a hypothetical investment vehicle
  that produces small returns centered on zero and occasionally exhibits outsized positive returns.

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

• When a market sells off strongly these options pay back and generate a strong positive outlier that “minus-Taleb” distribution features.

• 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.

 

Works Cited

[‘1. “Non-normality of Market Returns” (PDF).
2. ^ “New Normal Investing: Is the (Fat) Tail Wagging Your Portfolio?” (PDF).
3. ^ “Introduction to Tail Risk Parity” (PDF).
4. ^ “A Comparison of Tail Risk Protection Strategies in the U.S. Market”
(PDF).
5. ^ “Risk Parity, Tail Risk Parity and the Holy Grail Distribution” (PDF).
6. ^ “Holy Grail Distribution – the missing piece of every investment portfolio”.
Photo credit: https://www.flickr.com/photos/menegue/14982802401/’]