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Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?
Eling, Martin; Schuhmacher, Frank - Institut für Versicherungswirtschaft <Sankt Gallen> - 2006
The Sharpe ratio is adequate for evaluating investment funds when the returns ofthose funds are normally distributed and the investor intends to place all his risky assetsinto just one investment fund. Hedge fund returns differ significantly from anormal distribution. For this reason, other...
Persistent link: https://www.econbiz.de/10005861515
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Performance Measurement in the Investment Industry
Eling, Martin - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
It is frequently noted that investment funds with a nonnormal return distributioncannot be adequately evaluated using the classic Sharpe ratio. However, recent research compared the Sharpe ratio with other performance measures and found virtually identical rank ordering using hedge fund data. We...
Persistent link: https://www.econbiz.de/10005861465
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Estimation Procedure of a Factor Model for theConstruction of Hedge Funds Indices
Victoria-Feser, Maria-Pia; Huber, Philippe - National Centre of Competence in ResearchFinancial … - 2008
With hedge funds, issues such as finding common factors that definealternative strategies or the tracking of hedge funds have beendiscussed more or less recently in the financial literature. We proposehere the use of recent developments in estimation of factor modelsto unveil the five latent...
Persistent link: https://www.econbiz.de/10005868980
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The Role of Hedge Funds as Primary Lenders
Agarwal, Vikas; Meneghetti, Costanza - Centre for Financial Research <Köln> - 2011
We examine the role of hedge funds as primary lenders to corporate firms. We investigate boththe reasons and the implications of hedge funds’ activities in the primary loan market. Weexamine the characteristics of firms that borrow from hedge funds and find that borrowers areprimarily firms...
Persistent link: https://www.econbiz.de/10009284852
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Do Higher-Moment Equity RisksExplain Hedge Fund Returns?
Agarwal, Vikas; Bakshi, Gurdip; Huij, Joop - Centre for Financial Research <Köln> - 2009
Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks basedon the systematic pattern and significant spread in alphas from the existing models that do notcontrol for the higher-moment risks. The spread and pattern in alphas do not disappear withbootstrap...
Persistent link: https://www.econbiz.de/10009302631
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Inferring Reporting Biases in Hedge Fund Databases from Hedge Fund Equity Holdings
Agarwal, Vikas; Fos, Vyacheslav; Jiang, Wei - Centre for Financial Research <Köln> - 2010
This paper is a first study to formally analyze the biases related to self-reporting in the hedgefunds databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fundcompanies to the union of five major commercial databases of self-reporting hedge funds between...
Persistent link: https://www.econbiz.de/10009302632
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Hedge Fund Diversification: How Much Is Enough?
Lhabitant, François-Serge; Learned, Michelle - 2002
In this paper studies the impact of diversification on naively constructed (randomly chosen and equally weighted) hedge fund portfolios.
Persistent link: https://www.econbiz.de/10009138392
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Der Einfluß von Leerverkäufen auf die Performance von Hedge-Fonds
Schuhmacher, Frank - RWTH <Aachen> / Lehrstuhl für … - 2001
Rendite haben sich solche Strategien in den letzten 10 Jahren als eine eigenständige Anlageform, insbesondere für wohlhabende …
Persistent link: https://www.econbiz.de/10005840865
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Why is Santa so kind to hedge funds? - The December return puzzle!
Agarwal, Vikas; Naik, Narayan Y.; Daniel, Naveen D. - 2007
Dieses Papier beschäftigt sich mit der Performance US-amerikanischer Hedgefonds. DieAutoren widmen sich dabei … insbesondere dem Phänomen, dass die durchschnittliche Renditevon Hedgefonds im Dezember signifikant höher ausfällt als die … Performanceabhängt, tatsächlich eine vergleichsweise hohe durchschnittliche Dezemberrendite auf. Dasgleiche gilt für Hedgefonds, bei …
Persistent link: https://www.econbiz.de/10005855916
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Hedge-Fonds : Performance und Erklärungsansätze
Schuhmacher, Frank - RWTH <Aachen> / Lehrstuhl für … - 2001
seit etwa 50 Jahren verfolgt. Unter der Be-zeichnung Absolute Rendite haben sich solche Strategien dort in den letzten 10 … Stichwort Hedge-Fonds oder AbsoluteRendite Fonds werden nun auch in Deutschland verstärkt innovative Anlage-produkte angeboten …, die unabhängig von der Marktentwicklung eine positive abso-lute Rendite versprechen. 1 ... …
Persistent link: https://www.econbiz.de/10005858722