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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 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 …
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 Σεπ 2017 · We make several contributions to the literature. First, we derive a new measure for hedge funds’ systematic tail risk and show that it explains the cross-sectional and time series variation in fund returns. Second, we link tail risk exposures to fund characteristics.
10 Αυγ 2016 · 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.
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.
quantify how tail risk exposure impacts average hedge fund returns both over time and in the cross section. Our analysis establishes that exposure to tail risk is a key determinant of hedge fund returns. Persistence in Performance Across Crises We begin by investigating hedge fund performance during two extreme episodes: the
