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Tail risk and hedge fund returns

This paper by academics at Erasmus University and the University of Chicago shows that hedge funds exhibit persistent exposures to extreme downside risk, and that tail risk is an important determinant of the time-series and cross-section variation of hedge fund returns. Further it concludes that these results are consistent with the notion that a significant […]

Risk-based dynamic asset allocation

This paper proposes a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast market risk. It finds that modifying asset allocation to the market risk barometer offers investors the “promising opportunity” to meaningfully enhance portfolio performance across market environments.   To access the paper click below […]