This article focuses on the performance of Australian hedge funds. Using a survivorship bias free sample, we investigate whether Australian hedge fund managers have the ability to outguess the market. Specifically, we test the market timing and volatility timing skills of fund managers. Our...

This article investigates the consistency of style returns of hedge funds across eight providers of style indexes. We select 10 style categories which are defined in a relatively consistent way across the various providers, so that the natural null hypothesis is that the returns should behave...

This article investigates the dynamics of correlation between 11 Asian stock markets and the US stock market. By utilizing the method of 'principal components', we identify a single latent factor that can explain a major portion of variation in the weekly returns of these 11 markets from 1993 to...