hedge fundstail riskreturnalphaThis research is to investigate the impact of tail risk on fund of hedge funds (FOFs). We constructed tail risk measurements using both individual hedge fund reCui, WeiYao, JuanSatchell, Stephen E.Social Science Electronic Publishing...
This paper examines tail risk in the Brazilian hedge fund industry. We rely on a unique data set of daily returns for every hedge fund in Brazil, dead or alive.doi:10.2139/ssrn.3386376Caio AlmeidaMarcelo FernandesJoao Paulo ValenteSSRN Electronic Journal...
We document large, persistent exposures of hedge funds to downside tail risk. For instance, the hardest hit hedge funds in the 1998 crisis also suffered predictably worse returns than their peers in 2007-2008. Using the conditional tail risk factor derived by Kelly (2012), we find that tail ...
While hedge funds are liquidity providers in usual times, during times of market crisis, they can be forced to delever, potentially contributing to market volatility. The extent to which various hedge fund strategies are exposed to the tail risk that occurs during market turmoil is important to ...
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...
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...
correlation to equity assets, and as such, they can be used to mitigate risk in an equity-dominant portfolio. The directional nature of such funds can potentially lead to high returns in times of market stress. 例如,像Collar(领子期权组合)这样的传统资本保值策略就是通过卖出资金来电并使用溢价来买...
Hedge funds feel the pain after raising ‘long’ bets Research suggests equities bull market lured investors into overcommitting February 27 2020 David Sheppard Oil market faces up to the grim implications of coronavirus Crude price is in a tailspin, down more than 20 per cent from highs last ...
Tail risk of hedge funds: an extreme value application 1.1 Problem description Investors seek to maximise returns and to minimise risk. As risk is man- ageable but returns are not, these objectives can best be achieved through risk measurement/management techniques. In this regard, the conce.....
Hedge fundsTail riskDiversificationMarginal risk contributionThis paper develops several risk measures that captures the tail risk of single hedge fund strategies and the tail risk contribution of these hedge fund strategies to the overall portfolio tail risk, conditional on the level of market distress...