hedge fundstail riskreturnalphaWe examine the tail risk exposure of Fund of Hedge Funds (FOHFs) from 1995 to 2010. Based on our tail risk measurements, we show that most of the hedge funds anCui, WeiYao, JuanSocial Science Electronic Publishing...
Funds use VIX-linked ETNs to hedge left-tail risk. • Fund use MLP-linked ETNs to chase dividend yields in low interest-rate environments. • We find a negative association between long positions in ETNs and future ETN returns. • Fund managers display skill at short-selling ETNs. ...
#村长随手记# 446 tail risk一般翻译成“尾部风险”,但其实“极端风险”更合适。通常是一些灾难性事件的影响没有完全退去的时候,被忽略的风险。这些风险有时可能会导致资产泡沫的形成。这段英文解释比较简单易懂:Tail risk is a form of portfolio risk that arises when the possibility that an investment will ...
We show that, during the recent global financial crisis, all the different hedge fund strategies are contributing to the tail risk of the portfolio of hedge funds, mostly because of the hedge fund strategies' exposure to liquidity and credit risk....
Tail risk is the probability that an event on the narrow end of a bell curve of outcomes has a greater chance of coming true that standard-thinking investors feel comfortable with. In simple form, a tail risk hedge would be to protect long positions on the S&P 500 with derivatives that tr...
This paper examines the tail risk in hedge funds through their exposure to downside crash risk in equity markets. Using data on hedge fund returns, we find that crash risk exposure predicts the returns of hedge funds. Furthermore, using ... V Agarwal,S Ruenzi,F Weigert 被引量: 14发表: ...
Constructing tail risk strategies 构建长尾风险对冲策略 Some specialist providers of tail risk investment strategies already exist, and many larger hedge funds already use a degree of tail risk hedging within their existing funds. However, investor demand is causing many more established fund managers to...
Systematic risk and the cross section of hedge fund returns This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional dispersion in hedge fund returns. The pap... TG Bali,SJ Brown,MO Caglayan - 《Social Science Electronic Publishing》 被...
We examine a broad variety of strategies intended to protect a fund of funds from downside risk, focusing on the protection provided by investing in particular types of hedge funds themselves as well as in overlays using commodities and credit or volatility derivatives. We find that downside risk...
Although tail events that negatively impact portfolios are rare, they may have largenegative returns. Therefore, investors should hedge against these events. Hedging against tail risk aims to enhance returns over the long term, but investors must assume short-term costs. Investors may look to divers...