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 …

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

. Based on these active risk factors, an adjustment for intertemporal dependency is made. The authors extend TEDAS methodology … to three gestalts differing in allocation weights’ determination: a Cornish-Fisher Value-at-Risk minimization, Markowitz …