# Tail Risk Premia versus Pure Alpha
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## Core empirical observations
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https://www.trendfollowing.com/cfm-short.pdf
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In a model-independent analysis of various possible strategies, JP Bouchaud et al found (see also a long paper) that
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• The risk of (almost) any strategy is the tail risk
• TSmom (Time-series momentum) is a special strategy with a genuine premium which is not based on the tail risk
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## my summary
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Model-independent analysis means statistical analysis
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Start by ranking returns by absolute amplitude. This allows to plot three plots
a) usual time-ordered plot of SP500
b) ranked PnL plot $F(p)$ where $p$ is the rank of the absolute return from 0 to 1
c) symmterised ranked PnL $F_s (p)$, where 
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## other research
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https://research-center.amundi.com/files/nuxeo/dl/d1fddc0d-a0c5-43db-9754-2782180b6b3a
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negatively skewed
https://www.trendfollowing.com/whitepaper/skewed.pdf
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# Parents
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* TSeries Momentum - technical papers⏎