Tail Risk Exposures of Hedge Funds - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Tail Risk Exposures of Hedge Funds write by Caio Almeida. This book was released on 2019. Tail Risk Exposures of Hedge Funds available in PDF, EPUB and Kindle. 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. By employing the universe of hedge funds, we ensure the absence of selection, survivorship, and instant history biases. We estimate tail risk measures based on the cross-section of both equity and hedge-fund returns. We consider three tail risk measures. The first extracts a tail risk measure assuming that the tail of the cross-section distribution has a power law representation, whereas the second and third rely on the expected shortfall of the cross-section distribution under the physical and risk-neutral measures, respectively. We find that the tail risk estimates are very different not only across asset classes (equity vs hedge fund), but also across probability measures (physical vs risk neutral). More interestingly, we also show that, although the hedge fund industry in Brazil seems to exhibit more exposure to equity tail risk, hedge fund tail risk entails higher predictive ability to performance both over time and cross-sectionally.
Tail Risk of Hedge Funds
Tail Risk of Hedge Funds - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Tail Risk of Hedge Funds write by Gregor Aleksander Gawron. This book was released on 2007. Tail Risk of Hedge Funds available in PDF, EPUB and Kindle.
Option-Implied Tail Risk, Timing by Hedge Funds, and Performance
Option-Implied Tail Risk, Timing by Hedge Funds, and Performance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Option-Implied Tail Risk, Timing by Hedge Funds, and Performance write by Jung Soon Shin. This book was released on 2018. Option-Implied Tail Risk, Timing by Hedge Funds, and Performance available in PDF, EPUB and Kindle. This paper focuses on an unexplored dimension of fund managers' timing ability: market-wide tail risk implied by information in options markets. We investigate whether hedge fund managers can strategically time market tail risk implied by options through adjusting their portfolios' market exposure to changes in market tail risk. Using an extensive sample of 6,147 equity-oriented hedge funds over the period 1996 to 2012, we find strong evidence of tail risk timing ability of hedge fund managers. We conduct bootstrap analysis and confirm that our tail risk timing ability is not attributed to pure luck. Furthermore, tail risk timing ability brings significant economic value to investors. Specifically, in out-of-sample tests, top-ranked hedge funds outperform bottom-ranked funds by 5-7% annually after adjusting for common risk factors. Also, we find that managers' tail risk timing skill persists over time, suggesting that hedge fund managers' tail risk timing ability reflects true managerial skill. Our overall results are robust to various hedge fund characteristics, subsample or sub-period analysis, the use of alternative timing abilities, and other hedge funds' managerial skills. Our empirical examination emphasizes the role of market-wide option-implied tail risk in hedge fund managers' skill and their performance.
Investing in Hedge Funds
Investing in Hedge Funds - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Investing in Hedge Funds write by Turan Bali. This book was released on 2013-06-29. Investing in Hedge Funds available in PDF, EPUB and Kindle. This book will present a comprehensive view of the risk characteristics, risk-adjusted performances, and risk exposures of various hedge fund indices. It will distinguish itself from other books and journal articles by focusing solely on hedge fund indices and emphasizing tail risk as a predictor of hedge fund index returns. The three chapters in this short book have not been previously published. Presents new insights about the investability and performance measurement of an investor’s final portfolio Uses most recently developed investable hedge fund indexes to revise previous analyses of indexes Focuses on 14 distinct types of hedge fund indices with daily data from January 1994 to December 2011
Hedge Funds
Hedge Funds - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Hedge Funds write by Greg N. Gregoriou. This book was released on 2007-09-10. Hedge Funds available in PDF, EPUB and Kindle. Whether already experienced with hedge funds or just thinking about investing in them, readers need a firm understanding of this unique investment vehicle in order to achieve maximum success. Hedge Funds unites over thirty of the top practitioners and academics in the hedge fund industry to provide readers with the latest findings in this field. Their analysis deals with a variety of topics, from new methods of performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, an understanding and applicability of the results as well as theoretical developments are stressed. Filled with in-depth insight and expert advice, Hedge Funds helps readers make the most of this flexible investment vehicle.
