market volatility affects the hedge fund returns or not is one of the main questions that we ask in the article. Our results … reveal that stock and bond market volatility do not have a significant impact on fund returns for the most part, which is a … result that is robust to various measures of volatility. Among the four regions we examine, only the emerging market hedge …

The low-volatility anomaly is often attributed to limits to arbitrage, such as leverage, short-selling and benchmark … that is able to benefit from the anomaly. This paper finds that the return difference between low- and high-volatility ….e. hedge funds tend to bet not on, but against the low-volatility anomaly. This finding suggests that limits to arbitrage are …

We find that hedge funds’ ETF option positions predict cross-sectional differences in the future volatility of … are an important venue for informed volatility trading …

idiosyncratic volatility in subsequent periods, presenting a novel perspective to the relationship between anti …-herding, idiosyncratic volatility and expected returns. While the finding of anti-herding in the hedge fund industry is not unexpected as the … findings provide novel insight to the link between idiosyncratic volatility and expected returns in the context of anti …

In this article, we examine performance persistence and the implied volatility smile of the commodity options contracts … implied volatility is quite high as there are large fluctuations of average returns of commodity options. This is the first … study that provides a detailed analysis of performance persistence and volatility using data from the Chicago mercantile …

-sectional volatility, covariance, and correlation metrics proposed in Adrian (2007). In addition, the paper examines whether correlations … and covariance are important determinants of future volatility via traditional time-series regressions. The paper finds … an increase in hedge fund volatility, is documented. The time-series regressions are supportive of a strong relationship …