The rapid growth of the use of options in portfolio management has been accompanied by a variety of claims regarding the performance of options strategies. In particular, many investors believe that they can enhance the performance of their pure-stock portfolios using systematic covered-call...

We suggest an empirical model to analyze the investment style of individual hedge funds and funds of funds. Our approach is based on a mixture of the style analysis approach suggested by Sharpe (1988), the factor push approach used in stress testing, and historical simulation. An interesting and...

This paper presents an overview of the theories underlying the major portfolio performance measurement models, with an empirical application to assess the market timing and stock-picking abilities of an exhaustive sample of 60 Swiss-equity investment funds over the 1977-1999 period. Regardless...