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ETF Risk Models
Kakushadze, Zura; Yu, Willie - 2021
We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non … how to build an ETF taxonomy using ETF constituent data. A multilevel ETF taxonomy can also be constructed by … appropriately augmenting and expanding well-built and granular third-party single-level ETF groupings …
Persistent link: https://www.econbiz.de/10013213003
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The counterparty risk exposure of ETF investors
Hurlin, Christophe; Iseli, Grégoire; Pérignon, Christophe - In: Journal of banking & finance 102 (2019), pp. 215-230
Persistent link: https://www.econbiz.de/10012162775
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Integrated approach for risk assessment of alternative investments
Kaminskyi, Andrii; Butylo, Denys; Nehrey, Maryna - In: International journal of risk assessment and management … 24 (2021) 2/4, pp. 156-177
Persistent link: https://www.econbiz.de/10014227064
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Drawdown risk in mutual funds performance
Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106
To many people, the terror of falling share prices is often significant, often more so than the pleasure of gains. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have several tools to measure downside volatility,...
Persistent link: https://www.econbiz.de/10009746020
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Low-risk benchmarking transcends rebalancing methods
Hight, Gregory N.; Haley, Joseph Donald - In: The journal of investing : JOI 30 (2021) 2, pp. 7-30
Persistent link: https://www.econbiz.de/10012423038
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Separating Portfolio Performance into Opportunity, Foresight, and Active Management Risk
Khang, Kenneth - 2011
We introduce a decomposition showing precisely how actively-managed portfolio returns can be separated into three measurable components that we call Opportunity, Foresight, and Active Management Risk. Opportunity reflects the degree to which the investment opportunity set contains exploitable...
Persistent link: https://www.econbiz.de/10013133301
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Hedge-Fund Performance and Liquidity Risk
Sadka, Ronnie - 2011
This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in aggregate liquidity is an important predictor of hedge-fund performance. The results show that funds that significantly load on liquidity risk subsequently outperform low-loading...
Persistent link: https://www.econbiz.de/10013121145
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Liquidity Risk and the Cross-Section of Hedge-Fund Returns
Sadka, Ronnie - 2014
used hedge-fund factors. These findings highlight the importance of understanding systematic liquidity variations in the …
Persistent link: https://www.econbiz.de/10013066897
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Sharing R&D Risk in Healthcare via FDA Hedges
Jørring, Adam - 2017
The high cost of capital for firms conducting medical research and development (R&D) has been partly attributed to the government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be compensated for it. We propose new and simple financial...
Persistent link: https://www.econbiz.de/10012959215
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Dynamic Leverage as a Generalization of Traditional Value-at-Risk Measures and Its Use in Portfolio Construction
Smirnov, Mikhail - 2018
We study a concept of dynamic leverage which is a risk measure generalizing traditional value at risk type measures. This measure is suited for hedge funds and can be applied to quantify risk in a fund of hedge funds. Dynamic leverage depends on the level of fund volatility, time horizon and...
Persistent link: https://www.econbiz.de/10012938641