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...

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...

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...

This article aims at testing empirically the performance persistence of managed futures hedge funds. CTA, commodity trading advisers, or managed futures managers’ trade in the commodity market. Hedge funds use managed futures in terms of indices, treasuries, fixed –income securities and...

This article aims at testing empirically the performance persistence of long/short equity hedge funds. The hedge fund primarily goal is to invest in long and short position of the security to take advantage from increase or decrease of the prices. Thus, he/she buys a security that is expected to...

This article aims at testing empirically the performance persistence of funds of funds hedge funds. Funds of hedge funds invest solely in other hedge funds. The hedge fund manager selects funds based on a specific investment strategy or a combination of different investment strategies to achieve...

This article aims at testing empirically the performance persistence of fixed income arbitrage hedge funds. These funds engage principally in arbitrage strategies in the global corporate debt securities markets taking advantage of mispricing. Fixed income arbitrage funds take advantage of...

This article aims at testing empirically the performance persistence of distressed securities hedge funds. 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 the market. Hedge...

This article aims at testing empirically the performance of event driven hedge funds. The fund manager primarily is targeting financial, micro and macro economic or political events, corporate events that will affect positively the net asset value, NAV, performance of the fund. Merger arbitrage...

In this paper, we are examining hedge funds risk and return profile over the period 1990 to 2003 using Jensen's measure, implied volatility, correlations, covariances, Sharpe and Sortino ratios. The large range in returns and dispersion suggest that the mean variance approach may not indicate a...