The majority of factor analysis to-date has been isolated to the individual equity markets or in a cross-asset class framework, with very little literature that analyzes these factors across the equity markets of different countries. The goal of the study is to add to the body of research by...

Factor exposures exhibit alpha across countries, not just within countries, and momentum and valuation factors generate the greatest outperformance. These factors exhibit low correlations to each other, creating valuable diversification opportunities for portfolio managers. Long-only multi-style...

Hedge fund investment strategies tend to be quite different from the strategies followed by traditional money managers. Moreover, in principle every hedge fund follows its own proprietary strategy. This means that hedge funds are a very heterogeneous group. There are, however, a number of...

In this article, we are testing the performance of offshore hedge funds for the period 1998 to 2003. Offshore hedge funds are located for example in Cayman Islands, British Virgin Islands and Bermuda. Offshore hedge funds offer flexibility in terms that they invest in international equities,...

We investigate hedge fund firms' unobserved performance (UP), measured as the riskadjusted return difference between a fund firm’s reported return and hypothetical portfolio return derived from its disclosed long equity holdings. Fund firms with high UP outperform those with low UP by 7.2%...