We discuss various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted return and loss of the trading strategy. We consider two long portfolios hedged by the SPDR S&P 500 ETF (SPY) that mimics the S&P 500 index. The first portfolio...

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...

Utilizing several models and regression analytics I compare factor attribution, strategies, and active management fees for 11,394 U.S. equity mutual funds and a matched sample of hedge funds from 1994 to 2010. There is modest evidence to support alpha delivery by mutual and hedge fund managers...

Since Markowitz (1958) and Sharpe (1966), the increasing number of criteria and performance indicators made mutual funds analysis more complex and sometimes risky. In this study we propose to identify the most relevant indicators to classify mutual funds based on their statistical properties....

This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in the long and short run. It employed a panel autoregressive distributed lag (PARDL) model applying the mean group (MG), pooled mean group (PMG) and dynamic fixed effects (DFE)...

This paper introduces a novel method for estimating the alpha and beta of hedge fund indices that corrects for stale pricing in reported returns. This approach can be further used to estimate volatility and other risk measures. We apply this technique to a composite hedge fund index and six...

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market-wide climate change news index and find that high...

In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...