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Volatility and the Cross-Sectional Performance of Emerging Market Hedge Funds

Jayasuriya, Shamila A. - 2012

In an augmented [Treynor and Mazuy, 1966] model, we find that realized volatility of emerging market financial indices … hedge fund managers are indeed negatively linked with the coefficients on realized volatility for hedge fund returns. Our …

Persistent link: https://www.econbiz.de/10013116599

Nature of VIX Jumps on Market Timing of Hedge Funds

Lin, Yueh-Neng - 2013

significant outperformance. In the months that follow large jumps, strategies exposing to long volatility and extreme risk tend to … Brownian motion, strategies exposing to short volatility tend to deliver best performance. Hedge funds therefore deliver out …

Persistent link: https://www.econbiz.de/10013092526

Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios : a nonlinear VAR approach

Racicot, François-Éric; Théoret, Raymond - In: Financial innovation : FIN 8 (2022), pp. 1-56

-especially volatility and illiquidity shocks-over the subprime crisis in order to investigate their market timing activities. In a …

Persistent link: https://www.econbiz.de/10013169857

Day-to-Day Market Volatility and Hedge Fund Returns in Emerging Markets

Jayasuriya, Shamila A. - 2009

different emerging markets. Additionally, we show that including a simple day-to-day market volatility measure in our model … helps to improve its explanatory power. Our results indicate that higher market volatility is usually related to lower hedge …

Persistent link: https://www.econbiz.de/10013154967

Volatility of Aggregate Volatility and Hedge Fund Returns

Agarwal, Vikas - 2019

This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund … performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and …

Persistent link: https://www.econbiz.de/10012904697

Hedge Fund Redemption Restrictions and Stock Price Fragility

Reynolds, Julia - 2020

purchased by institutional blockholders with stricter redemption policies experience a significant decrease in volatility …

Persistent link: https://www.econbiz.de/10012824645

On Fund Mapping Regressions Applied to Segregated Funds Hedging Schemes under Regime-Switching Dynamics

Trottier, Denis-Alexandre - 2018

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in such policies. A typical industry practice consists in using fund mapping regressions to represent basis risk stemming from the imperfect correlation between the underlying fund...

Persistent link: https://www.econbiz.de/10012922821

Measuring Hedge Funds Performance Using Jensen’s Measure, Implied Volatility, Correlations, Covariances, Sharpe and Sortino Ratios

Guirguis, Michel - 2021

, implied volatility, correlations, covariances, Sharpe and Sortino ratios. The large range in returns and dispersion suggest …

Persistent link: https://www.econbiz.de/10013232470

Measuring the Alpha and Beta of High Volatility Commodity Futures Contracts of Hedge Funds. The Futures Contracts Are Gold, Silver, Zinc, Palladium and Platinum

Guirguis, Michel - 2021

In this article, we measure the alpha and beta of high volatility commodity futures contracts of hedge funds. The … increased by over 50%. The downside volatility of a mixed portfolio of managed futures, bonds and shares is better represented …

Persistent link: https://www.econbiz.de/10013232471

Testing the Effects of the Volatility of a Gaussian Distribution Monthly Returns of Commodity Futures Contracts of a Hedge Fund Portfolio

Guirguis, Michel - 2021

In this article, we test the effects of the volatility of Gaussian distribution monthly returns of commodity futures …

Persistent link: https://www.econbiz.de/10013232486