In this article, we test the effects of the volatility of Gaussian distribution monthly returns of commodity futures contracts of a hedge fund portfolio. We test a linear Gaussian state space model and the Kalman filter ARMA(2,4) model of the natural logarithmic monthly market returns of the of...

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

Utilizing a dataset of 1,899 U.S. hedge funds, we present evidence of anti-herding behavior among hedge fund managers in the U.S. Hedge funds anti-herd primarily based on fundamental information and irrespective of market volatility and credit deterioration conditions although funding...