This article examines the application of the Sharpe style analysis versus a rolling methodology of monthly returns of long/short funds, market neutral funds, event – driven hedge funds and their related indices. The Sharpe ratio is calculated as the ratio of the excess return divided by the...

This article is a cross comparison of the different performance ratios between different types of hedge funds. The funds under study are long/short funds, market-neutral funds and event – driven funds. We use a sample free of survivorship bias and measure performance using risk adjusted...

This article examines the application of the information ratio in a rolling style analysis methodology to test the effects on the lognormal returns of a 3 – month OMX Copenhagen 20 Cap index option contract. The information ratio is calculated as the ratio of the excess return divided by the...

This article aims at testing empirically the major building blocks that affect the performance of equity market neutral hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. A market neutral strategy combines both long and short...

This article aims at testing empirically the major building blocks that affect the performance of long/short equity hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. The hedge fund primarily goal is to invest in long and short...

This article aims at testing empirically the major building blocks that affect the performance of funds of funds hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. Funds of hedge funds invest solely in other hedge funds. The hedge...

This article aims at testing empirically the major building blocks that affect the performance of fixed income arbitrage hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. These funds engage principally in arbitrage strategies in the...

This article aims at testing empirically the major building blocks that affect the performance of distressed securities hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. Distressed securities are related to the corporate bonds of...

This book is designed to provide an overview and introduction to the financial derivatives. Derivatives are a very complicated subject in terms of mathematics and understanding, so it becomes very important to use simple definition and basic mathematics. A lot of students and especially the one...

In this article, we have tested a linear Gaussian state space model and the kalman filter in testing ARMA(2,3) models of the natural logarithmic monthly market returns of the US 1838 bond debenture closed-end fund. The aim is to estimate expectations that arises from the interaction of...