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

? The most-quoted measure of volatility is the VIX Index. On January 1, 2008, the VIX stood at 22.50. By October 24, 2008 …, volatility had spiked to 89.53, a 298-percent increase. The VIX fell during 2009, reaching a low of 19.25 by December 24, 2009, a … 78-percent decrease. If hedge funds are short volatility, was their 2008 negative performance a function of the sharp …

In this paper, I use the Busse (1999) volatility timing model and the cubic model in Holmes and Faff (2004) to examine … the volatility timing ability reflected in the hedge fund indices from four major emerging market regions. The performance … hedge funds operate. I find little evidence of volatility timing in the stock markets for these hedge fund indices …

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock … returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document … that hedge funds with high idiosyncratic volatility outperform and this pattern is explained by the positive return effect …

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock … returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document … that hedge funds with high idiosyncratic volatility outperform and this pattern is explained by the positive return effect …