I solve in closed form for the optimal dynamic risk choice of a fund manager who is compensated with a high-water mark … contract. The optimal risk choice depends on the ratio of the fund's assets under management to its high-water mark. If the … risk taking, though in many cases exercise is never optimal. In particular, leaving to restart at a proportionally smaller …

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a … large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that …-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in …

This paper tests the risk reduction properties of hedge fund investing against a sample of stocks ranging from 1990 … function as a weak safe haven. In contrast to their name, hedge funds do not provide a traditional “hedge” against stock risk …

quantitative model called the ω-Score to measure hedge fund operational risk. The ω-Score is related to conflict of interest issues … that this risk score can be used to effectively predict fund failures in the future …

systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …

. Using factor models of risk and the estimated dollar-weighted performance gap, we find that the real alpha of hedge fund …, and are only marginally higher than the risk-free rate as of the end of 2008. The combined impression from these results …

Hedge fund performance and risk measurement continues to present intriguing challenges to both academics and … practitioners. Risk-return measures that are solely based on historical return series tend to provide limited information and the …

the end of June 2009. Since hedge funds have been marketed to investors as risk diversifiers in addition to being return …

particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other … funds has affected the probability of fund failure. We find that risk spillover is significantly related to the failure … within the same investment style are adversely affected through both channels of risk spillover. In addition, we find that …

This article evaluates whether risk taking decisions of Brazilian hedge funds are influenced by past performance. More … normalization calculation, it is concluded that risk taking decisions of Brazilian hedge funds are not influenced by past … conclude that performance relative to its peers is relevant to the risk taking decisions of US hedge funds and CTAs and of …