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The volatility of mutual fund performance

Livingston, Miles; Yao, Ping; Zhou, Lei - In: Journal of economics & business 104 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012596474

The persistence in hedge fund performance : extended analysis

Capocci, Daniel - In: International journal of finance & economics : IJFE 14 (2009) 3, pp. 233-255

Persistent link: https://www.econbiz.de/10003901056

How "informative" is the information ratio for evaluating mutual fund managers?

Bossert, Thomas; Füss, Roland; Rindler, Philipp; … - In: The journal of investing 19 (2010) 1, pp. 67-81

Persistent link: https://www.econbiz.de/10003961493

Drawdown risk in mutual funds performance

Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106

benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …

Persistent link: https://www.econbiz.de/10009746020

Measuring the mutual fund industry risk management and performance sustainability : quantile regression model

Lee, Joe-ming - 2013

risk coefficient fundperformance has changed the relationship, show that enhancethe risk coefficient, resulting in lower …

Persistent link: https://www.econbiz.de/10009776201

Hedge funds and the positive idiosyncratic volatility effect

Bali, Turan G.; Weigert, Florian - 2021 - This version: December 2020

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...

Persistent link: https://www.econbiz.de/10012416051