Downside Risk Protection of Retirement Assets: A New Approach

Over the past few decades, 401(k) plans, IRA accounts, and other self-directed investment vehicles have become the most important pool of retirement savings, leaving retirees exposed to the risk of outliving their assets, a hazard largely absent from traditional...

The Clustering of Extreme Movements: Stock Prices and the Weather

A robust finding in this paper is that extreme movements in stock prices and temperature are usually preceded by large average daily movements during the preceding three-day period. This suggests that investors might fashion a market timing strategy, switching from...

Why Do Hedge Funds Stop Reporting Their Performance?

It is well known that the voluntary reporting of hedge funds may cause biases in estimates of their investment returns. But wide disagreements exist in explaining why hedge funds stop reporting to the data-gathering services. Academic studies have suggested that poor...

Hedge Funds: Risk and Return

Since the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use...