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Evaluating Hedge Fund Performance
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
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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
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Application of a Vector Error Correction, (VEC) Model to Test the Granger Causality Between the Monthly Returns and Expenses in Terms of Fees of Long/Short Equity and Arbitrage Hed...
Guirguis, Michel - 2019
In this article, we are investigating the effects of returns and expenses of hedge funds in terms of natural logarithmic monthly returns and expenses in terms of fees of long/short equity and arbitrage hedge funds. We have applied a Vector Error Correction model, (VEC) and a Granger causality to...
Persistent link: https://www.econbiz.de/10012890407
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Applying and Comparing Sharpe Style Analysis Versus a Rolling Methodology of Monthly Returns of Long/Short Funds, Market Neutral Funds, Event – Driven Hedge Funds and Their Related...
Guirguis, Michel - 2019
This article examines the application of the Sharpe style analysis versus a rolling methodology of monthly returns of long/short funds, market neutral funds, event – driven hedge funds and their related indices. The Sharpe ratio is calculated as the ratio of the excess return divided by the...
Persistent link: https://www.econbiz.de/10012890410
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Comparing the Performance of Different Categories of Funds of Funds Hedge Funds in Terms of Fees, Monthly Returns and Risk Adjusted Measures
Guirguis, Michel - 2019
This article aims at testing empirically the major building blocks that affect the performance and risk adjusted measures 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...
Persistent link: https://www.econbiz.de/10012890414
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Application of a Log Likelihood Object in GARCH with T-Distributed Errors and EGARCH with Generalised Error Distribution Model to the Monthly Returns of an Equity Hedge Fund
Guirguis, Michel - 2019
In this article, we have tested the volatility of the monthly returns of an equity hedge fund for changing conditional variances by using a log likelihood model. Generalized autoregressive conditional heteroskedastic models, (GARCH) with t-distributed errors, and exponential generalized...
Persistent link: https://www.econbiz.de/10012890419
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Examination of the Fees and Performance Structure of Equity Market Neutral Hedge Funds
Guirguis, Michel - 2019
This article aims at testing empirically the major building blocks that affect the performance of equity market neutral hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. A market neutral strategy combines both long and short...
Persistent link: https://www.econbiz.de/10012890746
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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
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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
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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