In this article, we examine performance persistence and the implied volatility smile of the commodity options contracts. We examine contracts of wheat, corn, live cattle, soybean oil, and lean hog. Hedge funds use options and futures in terms of commodities to hedge market risk. We compare the...

CTA, commodity trading advisers, or managed futures managers' trade in the commodity market. The hedge funds invest in commodity futures, currencies, bonds and shares. The portfolio is leveraged and the risk is quite high. Forward and futures contracts have similarities in terms that they...

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...

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...

In this article, we have tested a linear Gaussian state space model and the Kalman filter in testing ARMA(2,4) model of the natural logarithmic monthly market returns of event driven hedge funds. The fund manager primarily is targeting financial, micro and macro economic or political events,...

This article aims at measuring the effects of distressed securities or close to bankruptcy market evaluation of companies in the whole structure of the hedge fund. Distressed securities are related to the corporate bonds of bankrupted companies that start to get out from the crisis and are...

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...

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...

In this article, we examine how contango and backwardation affects the performance of commodity hedge funds. Evaluation based on commodity trading advisors', CTA. CTA, commodity trading advisers, or managed futures managers' trade in the commodity market. The hedge funds invest in commodity...