Market liquidity is complex to measure empirically. This explains why there is no consensus about performance ratios adjusted to its risk. We summarize market liquidity by two major characteristics: a costly one because of the loss of illiquidity premium; and a profitable one when investors can...

Hopes were high some years ago that hedge fund replication products would be for hedge fund investments something akin to what index funds have been to equity investments. Hedge fund replication products were to provide a low-cost, liquid exposure to hedge fund returns. Around one year ago,...

In this paper, we examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data. Based on the comparison of the empirical distributions of the holding period returns of hedge funds, a U.S. stock index and a U.S. bond index, we classify hedge funds...

Seasonality and behavior patterns are part of our daily life. Several studies have shown that seasonality behavior exists in different financial markets, especially in the spot market of equities and bonds. But, when we consider the monthly returns in hedge funds indexes, thus this occurs also?...

This paper analyzes the life cycles of hedge funds. Using the Lipper TASS database it provides category and fund specific factors that affect the survival probability of hedge funds. The findings show that in general, investors chasing individual fund performance, thus increasing fund flows,...