In this paper, we are evaluating performance persistence using Jensen's alpha risk adjusted measures and Sharpe ratio. Our results suggest that investment trusts on average underperform the benchmark indices by 45 basis points per year. Many studies find evidence of performance persistence...

The interaction of arbitrageur's and noise trading from a Behavioural orthodox approach is a new area of research. Noise traders are misled and they are making decisions not on data and forecasts, but based on their personal opinion. Their wrong estimate creates discount persistence throughout...

In this paper, we are using Jensen's alpha, Sharpe ratio and multi-factor models to test the performance of hedge funds for the period 1998 to 2003. Hedge fund returns exhibit a high degree of non-linearity and kurtosis. Our results suggest that for the examined period hedge funds provide...

Hedge funds have increased their assets over the past decades. In this paper, we consider the added value of hedge funds in a portfolio dominated by investment trusts. The sample is provided from Data Feeder dataset. It is very comprehensive and includes event driven hedge funds for the period...

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 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...