In this article, the authors find that a typical application of volatility-timing strategies to the
stock market suffers from look-ahead bias, despite existing evidence on the success of the …

This paper proposes the conditional crash rate (CCR) to study the degree of financial market
crisis and evaluate the risk of financial market crash, based on maximum drawdown and …

We investigate the stochastic resonance dynamic behavior characteristics of price
drawdown time series driven by internal and external periodic information and discuss the …

The study examined effect of drawdown on return in the Nigerian stock market and it
covered the period of 2005 to 2020. Purposive sampling was employed and the sample size …

In this article, the authors propose a risk estimation model that addresses both smoothness
and idiosyncratic risk dynamics of narrow private equity portfolio returns. The authors …

To efficiently assess the performance of investing in stocks rather than in a bank account for
the long run, stochastic interest rate modelling is advocated. We introduce a correlated …

There are many portfolio manage-ment tasks where forming views on future correlation of
assets is essential. Hedging unwanted systematic exposures is one such task; portfolio …

We propose a new metric to monitor an active manager's performance:'maximum cumulative
underperformance'(MaxCU). MaxCU measures the maximum cumulative underperformance …

To efficiently assess the performance of investing in stocks rather than in a bank account for
the long run, stochastic interest rate modelling is advocated. We introduce a correlated …

The author presents an empirical study of the persistence of manager returns for two core
hedge fund categories: equity long-short and macro/managed futures. The author finds that …