.e. what is maximum downside risk, if investment is made in mutual funds. Performance measures that consider both upward and … downwards volatility might not be very useful for investors. Rather performance measures that consider risk by taking into … account only losses, such as Value-at-Risk (VaR), is more appropriate technique to evaluate the performance. In the present …

such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from …

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 …