Volatility of aggregate volatility and hedge fund returns

• 成果类型: Article
• 署名作者: Agarwal, Vikas; Arisoy, Y. Eser; Naik, Narayan Y.
• 署名单位: University System of Georgia; Georgia State University; Centre National de la Recherche Scientifique (CNRS); Universite PSL; Universite Paris-Dauphine; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.06.015
• 发表日期: 2017
• 页码: 491-510
• 关键词: uncertainty; Volatility of volatility; Hedge funds; performance; RISK

摘要

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 Chicago Board Options Exchange (CBOE) volatility index, VIX. We find that VOV exposure is a significant determinant of hedge fund returns. After controlling for fund characteristics, we find 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. (c) 2017 Elsevier B.V. All rights reserved.