Volatility of Aggregate Volatility and Hedge Fund Returns

Vikas Agarwal, Yakup Arisoy () and Narayan Y. Naik

Post-Print from HAL

Abstract: This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the VIX index. We find that VOV exposure is a significant determinant of hedge fund returns. After controlling for fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross section of hedge fund returns. We corroborate our results using statistical and parameterized proxies of VOV over a longer sample period.

Keywords: Uncertainty; volatility of volatility; hedge funds; performance (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (40)

Published in Journal of Financial Economics, 2017, 125 (3), ⟨10.1016/j.jfineco.2017.06.015⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Volatility of aggregate volatility and hedge fund returns (2017)
Working Paper: Volatility of Aggregate Volatility and Hedge Fund Returns (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01634155

DOI: 10.1016/j.jfineco.2017.06.015

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().