We are investigating Sharpe, (1992), return based style analysis of equity market neutral hedge funds. The style weights of taking a short position in different assets can be positive or negative. A market neutral strategy combines both long and short positions. The net exposure is equal to...

Econometrics is a mixed discipline that requires different degrees of introductory knowledge related to probability, probability distributions, statistics, mathematical economics, calculus, and matrix algebra. For example, random variables are described by probability distributions such as the...

Econometrics is a mixed discipline that requires different degrees of introductory knowledge related to probability, probability distributions, statistics, mathematical economics, calculus, and matrix algebra. For example, random variables are described by probability distributions such as the...

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...

In this article, we have tested the volatility of the returns of the spot exchange rate of GBP/USD for changing conditional variances. Generalized autoregressive conditional heteroskedastic models, GARCH, threshold generalized autoregressive conditional heteroskedastic models, (TGARCH), and...

This article provides an explanation of the fluctuations and persistence of excess discount return in the UK and the US. On average, Guirguis six - factor model can explain 67% of the variation in the excess discount return in the UK market by taking into consideration the market effect, size,...

In this article, we have tested a linear Gaussian state space model and the Kalman filter in testing ARMA(2,4) model of the natural logarithmic monthly market returns of event driven hedge funds. The fund manager primarily is targeting financial, micro and macro economic or political events,...

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...