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.
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.
Tail Risk Exposures of Hedge Funds
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.
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
