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Guirguis, Michel - 2020

and incentive fees. They have offered value for money as hedge funds managers display a positive alpha. The categories of …

Persistent link: https://www.econbiz.de/10012833427

Return Based Style Analysis of Equity Market Neutral Hedge Funds

Guirguis, Michel - 2020

We are investigating Sharpe, (1992), return based style analysis of equity market neutral hedge funds. The style weights of taking a short position in different assets can be positive or negative. A market neutral strategy combines both long and short positions. The net exposure is equal to...

Persistent link: https://www.econbiz.de/10012833472

An Overview of Hedge Funds Performance Persistence

Guirguis, Michel - 2021

This paper examines in detail the literature review of hedge funds performance using a sample of 773 hedge funds from the period January 1990 to January 2003. The sample is free of survivorship bias, self-selection and backfill bias. Performance persistence in the investment literature was...

Persistent link: https://www.econbiz.de/10013232352

Measuring Hedge Funds Performance Using Jensen’s Measure, Implied Volatility, Correlations, Covariances, Sharpe and Sortino Ratios

Guirguis, Michel - 2021

covariances, the organisation structure, the trading strategy, the Sortino ratio and manager’s compensation scheme including the …

Persistent link: https://www.econbiz.de/10013232470

Offshore Hedge Funds Performance That Pursues Leveraged Activities Based on Distressed Securities

Guirguis, Michel - 2021

In this article, we examine offshore hedge funds performance that pursues leveraged activities based on distressed securities. Distressed securities are related to the corporate bonds of bankrupted companies that start to get out from the crisis and are trying to reduce their loan exposures in...

Persistent link: https://www.econbiz.de/10013232481

Testing the Effects of the Volatility of a Gaussian Distribution Monthly Returns of Commodity Futures Contracts of a Hedge Fund Portfolio

Guirguis, Michel - 2021

In this article, we test the effects of the volatility of Gaussian distribution monthly returns of commodity futures contracts of a hedge fund portfolio. We test a linear Gaussian state space model and the Kalman filter ARMA(2,4) model of the natural logarithmic monthly market returns of the of...

Persistent link: https://www.econbiz.de/10013232486

Measuring and Comparing the Risk Adjusted Performance, the Correlation and the Covariance of Global Macro Funds and Funds of Funds

Guirguis, Michel - 2021

In this article, we measure and compare the risk adjusted performance, the correlation and the covariance of global macro funds and funds of funds. Specifically, Global macro hedge fund manager focus to generate positive returns based on currency futures and options. He/she focused on fixed –...

Persistent link: https://www.econbiz.de/10013232487

Hedge Funds Performance Persistence

Guirguis, Michel - 2021

This article investigate the performance persistence of 736 hedge funds monthly observations of nine style categories, as they include the largest number of hedge funds measured from 1990 to 2003. The sample is free from survivorship bias as it includes funds that has terminated, merged or...

Persistent link: https://www.econbiz.de/10013221456

Research Investigation of Hedge Funds Performance Persistence

Guirguis, Michel - 2021

persistence of winners and losers according to the above results could be justified by the skill of the fund managers. The results … that continue to be winners in the next year shows that fund managers have stock picking ability, skill and not luck. In … contrast, losers’ hedge funds that continues to be losers in the next year shows that fund manager’s lack of skill and stock …

Persistent link: https://www.econbiz.de/10013221457

An Examination of Hedge Funds Performance Persistence

Guirguis, Michel - 2021

We check for performance persistence of hedge funds in terms of market price average returns in each style category. In addition, we use regression models to test market timing ability. We use a sample of 773 hedge funds both alive and dead to avoid survivorship, self-selection and backfill...

Persistent link: https://www.econbiz.de/10013221458