We develop a new tail risk measure for 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, tailsensitive stocks as well as options, drive tail risk. Moreover, managerial incentives and discretion as …

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, leverage and …

for the manager's linear incentive fee and the optimal benchmark. The size of the incentive fee and the risk adjustment in … the benchmark composition are increasing in the investor's risk tolerance and the manager's ability to acquire and process …

Hedge fund flows chase alpha, yet they also follow returns attributable to traditional and exotic risk exposures …, persistence in hedge fund returns attributable to traditional and exotic risk exposures is modest, which suggests investors would … benefit from employing more sophisticated risk models when evaluating fund performance. …

portfolios, and take greater idiosyncratic risk. Third, investors in participating funds exhibit less run-like behavior. …

We examine the funding liquidity risk of funds of hedge funds (FoFs) by proposing a new measure, illiquidity gap, which …