Αποτελέσματα Αναζήτησης
23 Σεπ 2021 · Abstract. We discuss the importance of using an alternative set of metrics for measuring the historical performance of tail risk hedging portfolios in particular, and for any strategy with levered payoffs in general.
1 Νοε 2012 · Using the conditional tail risk factor derived by Kelly (2012), we find that tail risk is a key driver of hedge fund returns in both the time-series and cross-section. A positive one standard deviation shock to tail risk is associated with a contemporaneous decline of 2.88% per year in…
16 Μαΐ 2024 · Tail risk is the probability of an extreme outcome from a rare event. Here we'll look at what it is, how it affects portfolios, and hedging strategies for it.
1 Σεπ 2017 · We develop a new systematic tail risk measure for equity-oriented hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns and that investments in both tail-sensitive stocks and options drive tail risk.
9 Μαρ 2021 · Several exchange-traded products claim to provide tail risk insurance or attempt to inverse the performance of indices. We compare several ETPs against a popular S&P 500 index ETF.
We are particularly interested in comparing different ways to determine the risky investment exposure of dynamic tail risk protection strategies, assessing various models to estimate a portfolio's downside risk measured by VaR and expected shortfall (ES).
31 Μαΐ 2012 · Abstract. 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.
