We develop a dynamic valuation model of the hedge fund seeding business by solving the consumption and portfolio-choice problem for a risk-averse manager who launches a hedge fund through a seeding vehicle. This vehicle, i.e. fees-for-seed swap, specifies that a strategic partner (seeder)...

Purpose – This chapter aimed to investigate hedge funds market risk. One aims to go further the traditional measures of risk that underestimates it by introducing a more appropriate method to hedge funds. One demonstrates that daily hedge fund return distributions are asymmetric and...

The average hedge fund represented by the HFRI Fund Weighted Composite Index of more than 2,000 funds lost 19 percent in 2008 but turned around and gained 20 percent in 2009. Was this extreme performance due to alpha or to embedded betas? The most-quoted measure of volatility is the VIX Index....

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...

We find that hedge funds’ ETF option positions predict cross-sectional differences in the future volatility of underlying ETFs. The predictive power is strongest for straddle positions and non-equity ETFs. A tracking portfolio of straddles based on funds’ straddle positions earns quarterly...

In this paper, we are examining hedge funds risk and return profile over the period 1990 to 2003 using Jensen's measure, implied volatility, correlations, covariances, Sharpe and Sortino ratios. The large range in returns and dispersion suggest that the mean variance approach may not indicate a...

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...