Seit der Einführung des Investmentmodernisierungsgesetzes in 2004 besteht amdeutschen Kapitalmarkt ein zunehmendes Interesse an Hedgefonds. Jedoch stellensich Hedgefonds für die meisten Investoren als eine „black box“ dar, denn esist schwer nachvollziehbar, welche Strategien sie verfolgen...

Hedge funds have become an increasingly popular investment tool in the past decade,due to their general lack of correlation with stocks and bond markets. Whenevaluating using the Markowitz portfolio selection theory, hedge funds appear tooffer a remarkable opportunity. Yet use of the Markowitz...

This paper studies the Performances of Italian Fund of Hedge Funds (FoHFit), in comparison with those of Italian Funds of Mutual Funds (FoFit) and of a sample of European Funds of Hedge Funds (FoHFeu). The first objective is to build a methodology able to both deal with a limited number of data...

On the surface, hedge funds seem to have much higher fees than actively managed mutual funds. However, the true cost of active management should be measured relative to the size of the active positions taken by a fund manager. A mutual fund combines active positions with a passive position in...

The paper examines the investment activities of Swiss National Bank during last years and especially what is the nature of these activities, what is their scope, what are their financial grounds, what possible consequences could they lead to, and why are they so disconcerting for the financial...

It is frequently noted that investment funds with a nonnormal return distributioncannot be adequately evaluated using the classic Sharpe ratio. However, recent research compared the Sharpe ratio with other performance measures and found virtually identical rank ordering using hedge fund data. We...

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...

In this paper, we investigate the performance persistence of hedge funds over time horizons between 6 and 36 months based on a merged sample from the Lipper/TASS and CISDM databases for the time period from 1994 to 2008. Unlike previous literature, we use a panel probit regression approach to...

This paper investigates the alpha generation of the hedge fund industry based on a recent sample compiled from the Lipper/TASS database covering the time period from January 1994 to September 2008. We find a positive average hedge fund alpha in the cross-section for the majority of strategies...

We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tailsensitive stocks as well as options,...