This paper aims at testing empirically the major building blocks that affect the performance of Hedge Funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. The sample is provided from Data Feeder dataset. It is very comprehensive and includes...

In this article, we have tested a linear Gaussian state space model and the Kalman filter in testing ARMA(2,4) model of the natural logarithmic monthly market returns of event driven hedge funds. The fund manager primarily is targeting financial, micro and macro economic or political events,...

This article aims at measuring the effects of distressed securities or close to bankruptcy market evaluation of companies in the whole structure of the hedge fund. Distressed securities are related to the corporate bonds of bankrupted companies that start to get out from the crisis and are...

This article is a cross comparison of the different performance ratios between different types of hedge funds. The funds under study are long/short funds, market-neutral funds and event – driven funds. We use a sample free of survivorship bias and measure performance using risk adjusted...

In this article, we have tested the application of a log likelihood object of an ARMA(p,q) model in five hedge funds categories. We have applied an autoregressive moving average, ARMA(2,2) model of order AR(1), AR(2), MA(1), MA(2) and SMA(12) to test the natural logarithmic monthly market...

This article aims at testing empirically the major building blocks that affect the performance of long/short equity hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. The hedge fund primarily goal is to invest in long and short...

This article aims at testing empirically the major building blocks that affect the performance of funds of funds hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. Funds of hedge funds invest solely in other hedge funds. The hedge...