Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings
Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings
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DOI：
10.2139/ssrn.2517799
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发表时间：
2016-08
期刊：
影响因子：
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通讯作者：
V. Agarwal;S. Ruenzi;F. Weigert
中科院分区：
文献类型：
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作者：
V. Agarwal;S. Ruenzi;F. Weigert
本文提出了一种新的系统性尾部风险度量方法，以检验尾部风险对基金业绩的影响，并识别尾部风险的来源。我们发现，尾部风险会影响基金收益的横截面变化，投资于尾部敏感的股票和期权会驱动尾部风险。此外，杠杆作用和资金流动性冲击风险是尾部风险的重要决定因素。我们发现一些基金能够在2008-2009年金融危机之前进行时间尾部风险暴露的证据。
We develop a new systematic tail risk measure for equity-oriented hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns and that investments in both tail-sensitive stocks and options drive tail risk. Moreover, leverage and exposure to funding liquidity shocks are important determinants of tail risk. We find evidence of some funds being able to time tail risk exposure prior to the 2008–2009 financial crisis.