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Active fundamental performance
Jiang, Hao; Lu, Zheng - In: The review of financial studies 31 (2018) 12, pp. 4688-4719
Persistent link: https://www.econbiz.de/10012005216
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Deriving managerial skills by dissecting holding changes of mutual funds : evidence from China
Jun, Xiao; Ren, He; Sun, Ping-Wen - In: Pacific-Basin finance journal 68 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013332516
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A spectral model of turnover reduction
Kakushadze, Zura - In: Econometrics : open access journal 3 (2015) 3, pp. 577-589
We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...
Persistent link: https://www.econbiz.de/10011410628
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Can turnover go to zero?
Kakushadze, Zura - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 157-176
Persistent link: https://www.econbiz.de/10010462974
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A dynamic model for the correlation of hedge fund and market returns
Pasin, Julián F. - 2007
Persistent link: https://www.econbiz.de/10003820514
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Connected stocks
Antón, Miguel; Polk, Christopher - 2010
Persistent link: https://www.econbiz.de/10003969416
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Measuring risk in the hedge fund sector
Adrian, Tobias - In: Current issues in economics and finance 13 (2007) 3, pp. 1-7
Persistent link: https://www.econbiz.de/10003493985
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A longer look at the asymmetric dependence between hedge funds and the equity market
Kang, Byoung Uk; In, Francis Haeuck; Kim, Gunky; Kim, … - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 3, pp. 763-789
Persistent link: https://www.econbiz.de/10008657180
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The effect of S&P 500 correlation on hedge fund alpha
Baesel, Jerome B.; González-Heres, José F.; Chen, Ping; … - In: The journal of wealth management 14 (2011/12) 4, pp. 93-104
Persistent link: https://www.econbiz.de/10009507051
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Hedge fund return volatility and comovement : recent evidence
Sabbaghi, Omid - In: Managerial finance 38 (2012) 1, pp. 101-119
Persistent link: https://www.econbiz.de/10009488348