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Hedge funds do not easily fit into the current way institutions go about investing. Based on a survey of recent academic and practitioner research, this article reviews six competing frameworks for how to incorporate hedge funds in institutional portfolios. Each framework has very different...
Persistent link: https://www.econbiz.de/10013023170
This paper proposes a novel database merging approach and re-examines the fundamental questions regarding hedge fund performance. Before drawing conclusions about fund performance, we form an aggregate database by exploiting all available information across and within seven commercial databases...
Persistent link: https://www.econbiz.de/10012905748
This paper proposes a novel database merging approach and re-examines the fundamental questions regarding hedge fund performance. Before drawing conclusions about fund performance, we form an aggregate database by exploiting all available information across and within seven commercial databases...
Persistent link: https://www.econbiz.de/10012889857
We show that a simple and intuitive variable, the return of a bear spread portfolio orthogonalized with respect to the market (H-Bear factor), can serve as an important pillar for explaining the cross-section of hedge fund returns. Low H-Bear exposure funds (bear risk insurance sellers)...
Persistent link: https://www.econbiz.de/10013492397
This chapter provides a comprehensive explanation of hedge fund replication. This chapter first reviews the characteristics of hedge fund returns. Then, the emergence of hedge fund replication products is discussed. Hedge fund replication methods are classified into three categories: rule-based,...
Persistent link: https://www.econbiz.de/10013152491
Consistent with the well-documented relation between political orientation and psychological traits, hedge funds' political orientations are related to their portfolio decisions. Relative to politically conservative hedge funds, politically liberal hedge funds exhibit a preference for smaller...
Persistent link: https://www.econbiz.de/10013005528
This paper empirically decomposes hedge fund excess return into factor timing, security selection, and risk premium using Lo (2008)'s performance measure. Portfolio-level tests show that security selection explains most of the excess return generated by hedge funds during 1994-2009, and the...
Persistent link: https://www.econbiz.de/10013093959
Using Form PF filings over 2013–2017, we find that funds maintain higher levels of cash holdings and available borrowing (“liquidity buffers”) when they hold more illiquid assets, have shorter-term commitments from investors and creditors, and when market volatility is greater. We also...
Persistent link: https://www.econbiz.de/10013252101
In this paper, we rationalize the persistent abnormal performance of hedge funds. We show how the commitment to deliver an absolute return, the decreasing returns to scale to which hedge fund strategies are subject, and the performance-linked compensation combine with the incomeaximizing...
Persistent link: https://www.econbiz.de/10013090324
The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance of ten major strategies, during and after...
Persistent link: https://www.econbiz.de/10012038535