Abstract

https://ssrn.com/abstract=1722250
 
 

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Do Risk Management Practices Work? Evidence from Hedge Funds


Gavin Cassar


INSEAD

Joseph J. Gerakos


Tuck School of Business at Dartmouth College

December 1, 2016

Chicago Booth Research Paper No. 13-13
26th Australasian Finance and Banking Conference 2013
Fama-Miller Working Paper

Abstract:     
We examine hedge fund risk management practices and their association with left-tail risk during the 2008 financial crisis. Consistent with risk management practices reducing left-tail risk, funds in our sample that use formal risk models performed significantly better in the extreme down months of 2008. We find no evidence that having either a dedicated head of risk management or position limits are associated with reduced left-tail risk. Funds employing value at risk models had more accurate expectations of how they would perform in a short-term equity bear market.

Number of Pages in PDF File: 51

Keywords: hedge funds, risk management, expectations, performance


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Date posted: December 9, 2010 ; Last revised: December 2, 2016

Suggested Citation

Cassar, Gavin and Gerakos, Joseph J., Do Risk Management Practices Work? Evidence from Hedge Funds (December 1, 2016). Chicago Booth Research Paper No. 13-13; Fama-Miller Working Paper; 26th Australasian Finance and Banking Conference 2013. Available at SSRN: https://ssrn.com/abstract=1722250 or http://dx.doi.org/10.2139/ssrn.1722250

Contact Information

Gavin Cassar (Contact Author)
INSEAD ( email )
Boulevard de Constance
77305 Fontainebleau Cedex
France
HOME PAGE: http://www.insead.edu/facultyresearch/faculty/profiles/gcassar/

Joseph J. Gerakos
Tuck School of Business at Dartmouth College ( email )
Hanover, NH 03755
United States
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