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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

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

Comparing the performance and composition of tracking error constrained and unconstrained portfolios

Du Sart, Colin F.; Van Vuuren, Gary - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 276-287

Persistent link: https://www.econbiz.de/10012656294

Exploring the behaviour of actively managed, maximally diversified portfolios

Theron, L.; Van Vuuren, Gary - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 44 (2020) 2, pp. 49-72

Persistent link: https://www.econbiz.de/10012613652

Spectral analysis and the death of value investing

Bezuidenhout, John-Morgan; Van Vuuren, Gary - In: Cogent economics & finance 9 (2021) 1, pp. 1-23

This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...

Persistent link: https://www.econbiz.de/10013184434

Optimal omega-ratio portfolio performance constrained by tracking error

Gunning, Wade; Van Vuuren, Gary - In: Investment management and financial innovations 17 (2020) 3, pp. 263-280

Persistent link: https://www.econbiz.de/10012406128

Exploring hedging strategies identified by fractal dimensions

Basson, Lodewikus Jacobus; Van Vuuren, Gary - In: Scientific Annals of Economics and Business 67 (2020) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10012415438

Portfolio performance under tracking error and asset weight constraints

Daly, Michael H.; Van Vuuren, Gary - In: Journal of economic and financial sciences : JEF 13 (2020) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10012321264

An evaluation and comparison of Value at Risk and Expected Shortfall

Burdorf, Tom; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 4, pp. 17-34

Persistent link: https://www.econbiz.de/10012055643