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| Author: | Liang, B. Park, H. |
| Title: | Risk measures for hedge funds: a cross-sectional approach |
| Journal: | European Financial Management
2007 : MAR, VOL. 13:2, p. 333-370 |
| Index terms: | hedging risk value-at-risk |
| Language: | eng |
| Abstract: | The study analyses the risk-return trade-off in the hedge fund industry. Semi-deviation, value-at-risk (VaR), expected shortfall (ES) and tail risk (TR) are compared with standard deviation at the individual fund level as well as the portfolio level. Fama and French methodology and the combined live and defunct hedge fund data from TASS are used and it is found that the left-tail risk captured by expected shortfall (ES) and tail risk (TR) explains the cross-sectional variation in hedge fund returns very well, while other risk measures provide statistically insignificant or marginally significant results. |
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