This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the … performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market … portfolio via volatility of aggregate volatility (VOV) and construct an investable version of this measure by computing monthly …

the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate … volatility (VOV) and construct an investable version of this measure by computing monthly returns on lookback straddles written …

weekly data to identify exogenous variation in speculators' positions. The results suggest that idiosyncratic net long demand … relevant driver of returns, especially during periods of high speculative demand volatility. These findings confirm significant …