Hedge funds feature special compensation structure compared to traditional investments. Previous studies mainly focus on the provisions and incentive structure of hedge fund contract, such as 2/2'8 hurdle rates, and high-water mark. We develop an algorithm to empirically estimate the monthly...

Using data from January 18, 1996 to March 31, 2011, we construct and evaluate returns on a buy-write strategy on the Russell 2000 index. The results demonstrate that the strategy has consistently outperformed the Russell 2000 index on a risk adjusted basis, when implemented with one month to...