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 · 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 Σεπ 2017 · We investigate the determinants of tail risk of funds, i.e., why some funds are more exposed to tail risk than others and which fund characteristics are associated with high tail risk. We reach several findings that are consistent with the prior literature on the relation between risk-taking behavior and contractual features of hedge funds.
2 Ιουν 2019 · 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.
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. 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.
