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A Decade of Alternative Beta
Suhonen, Antti - 2019
We provide first empirical evidence of the long-term realized performance of alternative beta strategies. Despite diversified risk premia portfolios achieving satisfactory Sharpe ratios of 0.80 – 1.07 over the past decade, we show that up to two thirds of the performance can be explained by...
Persistent link: https://www.econbiz.de/10012892220
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Chapter 14. Investment Performance: A Review and Synthesis
Ferson, Wayne E. - 2013
This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...
Persistent link: https://www.econbiz.de/10014025364
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Evaluating Private Equity Performance Using Stochastic Discount Factors
Gredil, Oleg - 2020
We examine the performance of 2,790 private equity (PE) funds incepted during 1979-2008 using Stochastic Discount Factors (SDFs) implied by the two leading consumption-based asset pricing models (CBAPMs) — external habit and long-run risks — as their assumptions appear consistent with...
Persistent link: https://www.econbiz.de/10012845721
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Valuing Private Equity
Sorensen, Morten - 2013
We develop a dynamic valuation model of private equity (PE) investments by solving the portfolio-choice problem for a risk-averse investor (LP), who invests in a PE fund, managed by a general partner (GP). Key features are illiquidity, leverage, GP value-adding skills (alpha), and compensation,...
Persistent link: https://www.econbiz.de/10013090000
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Valuing Private Equity
Sorensen, Morten - 2013
We develop a dynamic valuation model of private equity (PE) investments by solving the portfolio-choice problem for a risk-averse investor (LP), who invests in a PE fund, managed by a general partner (GP). Key features are illiquidity, leverage, GP value-adding skills (alpha), and compensation,...
Persistent link: https://www.econbiz.de/10013091151
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Valuing Private Equity
Sorensen, Morten - 2019
We develop a dynamic valuation model of private equity (PE) investments by solving the portfolio-choice problem for a risk-averse investor (LP), who invests in a PE fund, managed by a general partner (GP). Key features are illiquidity, leverage, GP value-adding skills (alpha), and compensation,...
Persistent link: https://www.econbiz.de/10012905481
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Hedge Fund Strategies, Performance & Diversification : A Portfolio Theory & Stochastic Discount Factor Approach
Newton, David - 2020
For 5,500 North American hedge funds following 11 different strategies, we analyse the stand-alone performance of these strategies using a stochastic discount factor approach. Employing the same data, we then consider the diversification benefits of each hedge fund strategy when combined with a...
Persistent link: https://www.econbiz.de/10012849217
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Origins of Mutual Fund Skill : Market versus Accounting Based Asset Pricing Anomalies
Christiansen, Charlotte; Xing, Ran; Xu, Yue - 2021
We investigate the information source of active U.S. equity mutual funds’ value added using 234 public asset pricing … anomalies. On average, mutual funds add value through their positive exposures to anomalies based on market information (e ….g., momentum and liquidity risk) and lose value through their negative exposures to anomalies based on accounting information of …
Persistent link: https://www.econbiz.de/10013250271
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Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
-pricing models where lagged variables serve as instruments for publicly available information. The different paradigms are associated … extensions for conditioning information. Hansen's (1982) Generalized Method of Moments (GMM) is briefly reviewed as an organizing …
Persistent link: https://www.econbiz.de/10014023859
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Beta Active Hedge Fund Management
Duanmu, Jun - 2017
We reconsider the question of whether beta-centric hedge fund activity is predictive of superior performance. We construct a measure of overall beta activity of fund managers, Beta Activity, and find evidence that top beta active managers deliver superior long term out-of-sample performance...
Persistent link: https://www.econbiz.de/10012975391