This paper mainly focuses on the correlation between live hedge funds return and their value at risk (VaR), which is …

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …

This paper investigates hedge funds' exposures to various financial and macroeconomic risk factors through alternative …

, we use a new conditional-risk factor, which is a market timing strategy defined as the unexpected return on the market … times the ex ante price of risk. The factor is a powerful tool for documenting a global effect of conditional risk on stock … returns: across 23 developed countries, all major equity risk factors load on our conditional-risk factor with the right sign …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown … duration is estimated. We find evidence that drawdown duration varies systematically with expected return from the carry trade …