Hedge funds are often thought of as being high-risk investments and many investors in the past have shied away from them for fear of making large losses. However, over the recent years, hedge funds have generally substantially outperformed equities, with much lower volatility. As a consequence,...

We study the empirical link that exists between investment-cash flow sensitivities and financial constraints in the Swiss financial market. We follow the standard approach introduced by FAZARRI, HUBBARD and PETERSON (1988), but improve it by using a dynamic classification of firms, a new...

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...

Hedge fund indices have grown in numbers over the recent years and made their presence widespread through a number of providers. Assets linked to hedge fund indices currently exceed $12 billion, and the debate is now focusing on whether they should be considered as eligible assets for UCITS III...

[eng] Alternative asset management : the dissidents’ virtues . Alternative asset management has experienced an exponential growth over the recent years. It now represents more than one trillion dollars of assets under management, and starts expanding in Europe with the progressive opening of...