A large negative event can have a devastating impact such that it significantly reduces portfolio value e.g. the 2008 financial crisis investors dislike stocks with high tail risk (in terms of negative skew-ness) even though, stocks with negative skew-ness tend to have higher expected returns Volatility vs. Tail RiskThree risk metrics are tested: 1. Volatility (VOL) It is the standard deviation (risk) of the funds return and which is not sensitive to tail information. 2. Skew-ness (SKEW) It is a measure of the data asymmetry around the sample mean and negative skew-ness represents a greater probability for larger negative returns 3. Excess Conditional Value-at-Risk (ECVaR) It measures the left tail risk. The right tail affects skewness but has no impact on ECVaR. ECVaR is the fund’s expected tail loss (CVaR), in excess of the implied expected tail loss with a normal distribution, the same mean and standard deviation.