Performance measurement is an area of crucial interest in asset valuation and investment management. High volatility as well as time aggregation of returns, amongst other characteristics, may distort the results of conventional measures of performance. In this work, we study the performance of...

The study concentrates on the comparison of hedge fund efficiency measured by maximum drawdown measures with traditional risk/return ratios. The examined period is from 1990 to 2011 and the data were provided by Hedge Fund Research. It is a continuation of the research done for a shorter period,...

This research study provides insights on how activist hedge funds perform valuation analyses of target firms. Relevant data was hand-collected from a sample of activist hedge fund presentations. Based on the hedge funds’ valuation analyses, the undervaluation of the target firms amounts to...

The main purpose of the article was to analyze the effectiveness of the basic investment strategies used by hedge funds in the long term (years 1994-2015) and during the global financial crisis (years 2007-2009). Using information from commercial databases we attempted to verify the hypothesis...

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...

Developments in the world of finance have led the authors to assess the adequacy of using the normal distribution assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence, this paper attempts to analyse statistical...

Hedge funds have traditionally served wealthy individuals and institutional investors with the promise of delivering protection of capital and uncorrelated positive returns irrespective of market direction, allowing them to better manage portfolio risk. However, the financial crisis of 2008 has...

This paper investigates the nature of volatility spillovers between stock returns and hedge funds returns in twelve Asia Pacific countries in the 1997-2018 period. The sample period encompasses sub periods, 1997 Asia financial crisis, 2008 Global financial crisis and 2010 Eurozone crisis; these...

In this paper we study a higher moment diversification measure, the so-called diversification delta (Vermorken et al. (2012)), in a dynamic portfolio optimization context. Particularly, we set up an investment strategy that dynamically maximizes the diversification delta for a given set of...

The objective of this contribution is not only to explain the position of institutional investors on global capital markets, but also evaluate their impact on the operation of financial systems. The core of this contribution is dedicated to hedge funds that in the period before the outbreak of...