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.
The Tail Risk of Hedge Fund Returns
The Tail Risk of Hedge Fund Returns - 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 The Tail Risk of Hedge Fund Returns write by . This book was released on 2015. The Tail Risk of Hedge Fund Returns available in PDF, EPUB and Kindle. I test whether recently proposed, stock market-based tail risk measures explain hedge fund returns. The tail risk measures are TAIL (Kelly and Jiang; 2014), LBVIX (Agarwal, Arisoy, and Naik; 2014), VVIX (Park; 2013), and variations of these measures. The hedge fund data is a variety of hedge fund indices and different samples of individual hedge funds drawn from the Lipper/TASS database. Using EUR-denominated stocks and hedge funds instead of USD-denominated stocks and hedge funds, I test the results of Kelly and Jiang (2012) by applying their methodology to the Eurozone. The results are qualitatively identical, lending support to the claim that TAIL is a risk factor for hedge funds. On the other hand, I find evidence against the claim that TAIL suitably represents tail risk. Incorporating a weighting factor for the stocks' market capitalizations in the calculation of TAIL leads to a more plausible but very different evolution of TAIL and reverses the effect of TAIL in the cross-section of hedge fund returns. Ultimately, no evidence remains for the claim that exposure to tail risk is compensated with higher overall returns. In the second part of this paper, I replicate the results of Agarwal, Arisoy, and Naik (2014) and perform additional robustness tests that confirm the relevance of the second-order volatility measure LBVIX for hedge fund returns. These results extend to the VVIX as an alternative, non-investable measure of second-order volatility. Hedge funds that are more negatively exposed to second-order volatility achieve higher average excess and alpha returns. Following Park (2013), I decompose VVIX into the integrated volatility of volatility (IVV) and the jump variation (VJUMP). This decomposition allows a further and novel analysis of the relationship between second-order volatility and hedge fund returns. I find that it is not the exposure to volatility jumps but to diffusive movements in volatility that is negative.
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 2011-08-04. 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.
Reconsidering Funds of Hedge Funds
Reconsidering Funds 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 Reconsidering Funds of Hedge Funds write by Greg N. Gregoriou. This book was released on 2012-12-31. Reconsidering Funds of Hedge Funds available in PDF, EPUB and Kindle. How will the funds of hedge funds (FoHF) business have to change to survive in the wake of the 2008-2012 financial crisis? This new research provides valuable insight. Reconsidering Funds of Hedge Funds presents the first comprehensive views of UCITS as well as recent trends in due diligence, risk management, and hedge fund deaths and survivors. The book contains original chapters by 22 academics and 16 hedge fund professionals, and includes two sections on performance: one that looks at UCITS FoHF and one that deals with traditional FoHF performance. Most chapters examine aspects of the 2008-2012 financial crisis, and almost every chapter addresses fund of hedge funds' management process before, during, and after the crisis. Covers recent advances in risk management, due diligence, tail risk, and allocation Presents an in-depth analysis of UCITs Balances academic and professional viewpoints
