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...

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 an augmented [Treynor and Mazuy, 1966] model, we find that realized volatility of emerging market financial indices generally have a negative impact on the performance of hedge funds operating in these markets. Our hypothesis is that daily trading activities related to overconfidence and...