Equity market volatility over the last two months reached levels not seen since the Global Financial Crisis (GFC), and many forecasts point to the possibility of elevated volatility for several years to come. With limited capacity to absorb further capital losses of the magnitude experienced in 2008-2009 or even during the recent COVID-19 crisis, many investors seek a solution that reduces risk, especially the risk of large losses in “tail” events, while keeping portfolio return targets.