The report, "The Cumulant Risk Premium" by Albert S. (Pete) Kyle and Karamfil Todorov, presents a new methodology for measuring the risk premium of higher-order cumulants using leveraged exchange-traded funds (ETFs). The authors show that the risk premium on these ETFs reflects the difference between physical and risk-neutral cumulants, which they call the cumulant risk premium (CRP). They find that the CRP is different from zero across various asset classes and is particularly large during times of stress. The report also highlights the high exposure of highly leveraged strategies to higher-order cumulants and its implications for hedge funds and factor models.
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