Agarwal, Vikas; Arisoy, Y. Eser; Naik, Narayan Y. - Institut für Finanzmarktforschung, Wirtschafts- und … - 2015
the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate …, at different strategy levels, and at an individual fund level. We find that funds with low (more negative) VOV betas … outperform funds with high VOV betas by 1.62% per month. After controlling for a large set of fund characteristics, we document a …