"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

set of explanations, based on prospect theory, specifically the disposition effect. This paper develops a model of stock …

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

-quality stocks reduces the overall risk of the portfolio. Regarding the low mispricing portfolio, the results show that growth …

CAPM alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors …. We decompose performance into traditional and exotic risk components and find that while investors chase both components …, they place greater relative emphasis on returns associated with exotic risk exposures that can only be obtained through …

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. …

CAPM alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors …. We decompose performance into traditional and exotic risk components and find that while investors chase both components …, they place greater relative emphasis on returns associated with exotic risk exposures that can only be obtained through …

, forecasts both the returns and the risk of the strategy. Challenging a potential risk-based explanation, a highly cyclical … momentum portfolio forecasts both higher risk and lower returns for the strategy. The results show robustness out …

weekly data and prospect theory for monthly data. The results demonstrate that the risk of a stock can be underestimated or …