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Kakushadze, Zura; Yu, Willie - 2021

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based on these risk factors by utilizing the heterotic risk...

Persistent link: https://www.econbiz.de/10013213003

The Timing Performance of Local Versus Foreign Mutual Fund Managers : An Analysis of Market, Volatility and Joint Timing

Tschanz, Stephan - 2010

I examine the market, volatility and joint timing performance of US equity funds (locals) versus UK equity funds … specialised in timing and thus better interpret the macroeconomic factors than local fund managers. Using parametric estimates, I … find evidence that UK funds have a statistically better timing ability than US funds. I use a nonparametric model to show …

Persistent link: https://www.econbiz.de/10013148875

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

GFC-Robust Risk Management Strategies under the Basel Accord

McAleer, Michael - 2010

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...

Persistent link: https://www.econbiz.de/10013137384

The Analysis of Value at Risk for Precious Metal Returns by Applying Extreme Value Theory, Copula Model and GARCH Model

Khemawanit, Kritsana - 2016

This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious metal. The 4,077 precious metal price observations are collected from 3rd January 2000 to 18th August 2015, traded in the London Metal Exchange, and all prices are traded in US...

Persistent link: https://www.econbiz.de/10012976965

Inter-Temporal Risk Parity : A Constant Volatility Framework for Factor Investing

Perchet, Romain - 2015

Inter-temporal risk parity is a strategy that rebalances risky assets and cash in order to target a constant level of ex-ante risk over time. When applied to equities and compared to a buy-and-hold portfolio it is known to improve the Sharpe ratio and reduce drawdowns. We apply inter-temporal...

Persistent link: https://www.econbiz.de/10013033533

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

Persistent link: https://www.econbiz.de/10013316571

Tracking Error Volatility and Relative Risk Budgets

Gottesman, Aron A. - 2022

This paper shows that tracking error volatility (TEV) is characterized by reversion toward the mean. Mutual funds with relatively high (low) TEV in a given period tend to reduce (increase) their TEV in subsequent periods, and the degree to which a given fund’s TEV is relatively high or low...

Persistent link: https://www.econbiz.de/10014238071

Do Hedge and Merger Arbitrage Funds Actually Hedge? A Time-Varying Volatility Spillover Approach

Papathanasiou, Spyros; Vasiliou, Dimitrios; Magoutas, … - 2021

We examine the interaction between funds implementing hedge and merger arbitrage strategies and a set of traditional assets comprising equities, bonds, gold, crude oil, currency, commodities and real estate, by applying a time-varying spillover approach for the period 1/1/2010-7/31/2020. Results...

Persistent link: https://www.econbiz.de/10013230114

A new measure for idiosyncratic risk based on decomposition method

Lee, Meng-Horng; Hooy, Chee Wooi; Brooks, Robert - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-8

This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques contributes to a more comprehensive firm-level...

Persistent link: https://www.econbiz.de/10014289732

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