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Hedge fund performance using scaled Sharpe and Treynor measures

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300

Persistent link: https://www.econbiz.de/10011279837

Hedge fund performance evaluation using the Sharpe and Omega ratios

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 3, pp. 485-512

Persistent link: https://www.econbiz.de/10010370229

A risk-adjusted performance evaluation of US and EU hedge funds and associated equity markets over the 2007 - 2009 financial crisis

Van Heerden, Chris; Heymans, André; Van Vuuren, Gary; … - In: International business and economics research journal 13 (2014) 1, pp. 169-189

Persistent link: https://www.econbiz.de/10010251617

The bias ratio as a hedge fund fraud indicator : an empirical performance study under different economic conditions

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 4, pp. 867-896

Persistent link: https://www.econbiz.de/10010393444

Optimizing tracking error-constrained portfolios

Maxwell, Michael; Daly, Michael; Thomson, Daniel; Van … - In: Applied economics 50 (2018) 54, pp. 5846-5858

Persistent link: https://www.econbiz.de/10012062920

The Capital Asset Pricing Model and Fama-French Three Factor Model in an emerging market environment

Karp, Adam; Van Vuuren, Gary - In: International business and economics research journal 16 (2017) 4, pp. 231-255

Persistent link: https://www.econbiz.de/10011965141

Attribution of hedge fund returns using a Kalman filter

Thomson, Daniel; Van Vuuren, Gary - In: Applied economics 50 (2018) 9, pp. 1043-1058

Persistent link: https://www.econbiz.de/10011848239

An Omega ratio analysis of global hedge fund returns

Rambo, James; Van Vuuren, Gary - In: The journal of applied business research 33 (2017) 3, pp. 565-585

Persistent link: https://www.econbiz.de/10011705695

Portfolio performance under tracking error and benchmark volatility constraints

Hausner, Jan Frederick; Van Vuuren, Gary - In: Journal of economics, finance & administrative science 26 (2021) 51, pp. 94-111

Purpose: Using a portfolio comprising liquid global stocks and bonds, this study aims to limit absolute risk to that of a standardised benchmark and determine whether this has a significant impact on expected return in both high volatility period (HV) and low volatility period (LV)....

Persistent link: https://www.econbiz.de/10012598597

Global maximal Sharpe ratios for active portfolios

Van Vuuren, Gary; Lecq, Max van der - In: Applied economics letters 30 (2023) 15, pp. 2069-2073

Persistent link: https://www.econbiz.de/10014324875