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23 Σεπ 2021 · Tail Risk Hedging Performance: Measuring What Counts. This Revised Version: September 23, 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 Ιαν 2021 · In this Part I, we firstly examine and quantify the tail risk inherent in South African markets. This is done through a review the long-term history of equity and bond market drawdowns.
1 Νοε 2012 · 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 …
Tail risk hedge funds can generate significant skewness and convexity, however at the expense of strongly negative overall performance. Trend-following CTAs can produce significant positive convexity similar to the tail risk
31 Μαΐ 2012 · 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.
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 investments in both, tail-sensitive stocks as well as options, drive tail risk.
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 investments in both, tail-sensitive stocks as well as options, drive tail risk. Moreover,
