The average hedge fund represented by the HFRI Fund Weighted Composite Index of more than 2,000 funds lost 19 percent in 2008 but turned around and gained 20 percent in 2009. Was this extreme performance due to alpha or to embedded betas? The most-quoted measure of volatility is the VIX Index....

The low-volatility anomaly is often attributed to limits to arbitrage, such as leverage, short-selling and benchmark constraints. One would therefore expect hedge funds, which are typically not hindered by these constraints, to be the smart money that is able to benefit from the anomaly. This...

In an augmented [Treynor and Mazuy, 1966] model, we find that realized volatility of emerging market financial indices generally have a negative impact on the performance of hedge funds operating in these markets. Our hypothesis is that daily trading activities related to overconfidence and...

In this paper, we are examining hedge funds risk and return profile over the period 1990 to 2003 using Jensen's measure, implied volatility, correlations, covariances, Sharpe and Sortino ratios. The large range in returns and dispersion suggest that the mean variance approach may not indicate a...