for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard … performance and risk assessment. After constructing Bayesian estimators for alpha-stable distributions in the context of an ARMA …-GARCH time series model with stable innovations, we compare our risk evaluation and prediction results to the predictions of …

This article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to … Avramov, Kosowski, Naik, and Teo, we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios … liquidity risk. Moreover, we show that the equity market-neutral and long/short hedge fund portfolios' "alphas" also entail …

This paper examines the extent to which idiosyncratic risk measures explain cross-sectional differences in hedge fund … momentum effects. Idiosyncratic risk is a powerful factor in explaining the cross-sectional variation in hedge fund returns …