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The impact of quantitative methods on hedge fund performance
Chincarini, Ludwig Boris - In: European financial management : the journal of the … 20 (2014) 5, pp. 857-890
Persistent link: https://www.econbiz.de/10010504235
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Do hedge funds bet against beta?
Malachov, Aleksej; Riley, Timothy B.; Yan, Qing - In: International review of economics & finance : IREF 93 (2024) 1, pp. 1507-1525
Persistent link: https://www.econbiz.de/10014535483
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Do fund managers time momentum? : evidence from mutual fund and hedge fund returns
Wang, Feifei; Zheng, Lingling - In: European financial management : the journal of the … 30 (2024) 1, pp. 55-91
Persistent link: https://www.econbiz.de/10014470412
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Funding illiquidity implied by S&P 500 derivatives
Golez, Benjamin; Jackwerth, Jens Carsten; Slavutskaya, Anna - In: Risks : open access journal 12 (2024) 9, pp. 1-33
prices of S&P 500 derivatives. Our measure significantly affects the returns of leveraged managed portfolios; hedge funds … with negative exposure to changes in funding illiquidity earn high returns in normal times and low returns in crisis …
Persistent link: https://www.econbiz.de/10015070429
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Political risk, hedge fund strategies, and returns : evidence from G7 countries
Rungmaitree, Pattamon; Boateng, Agyenim; Ahiabor, Frederick - In: Journal of international financial markets, … 81 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013533397
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Effect of regulatory constraints on fund performance : new evidence from UCITS hedlge funds
Joenväärä, Juha; Kosowski, Robert L. - 2015
Persistent link: https://www.econbiz.de/10011289235
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Alpha Characteristics of Hedge Funds
Jain, Sameer - 2013
Hedge Fund managers are expected to create excess investment returns (Alpha) through two primary skills based sources … a Kalman Filtering approach to measure the skills based component of HF returns. We separately quantify value generated …
Persistent link: https://www.econbiz.de/10013081375
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Predicting Hedge Fund Performance When Fund Returns Are Skewed
Heuson, Andrea J. - 2019
. Specifically, skewness in fund returns reflects managerial skill in avoiding large drawdowns. Using a new measure of investment …-estimate) managerial performance when returns exhibit positive (negative) fund-specific skewness. Our new measure is particularly valuable …
Persistent link: https://www.econbiz.de/10012904857
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The Effect of Investment Constraints on Hedge Fund Investor Returns
Joenväärä, Juha - 2018
This paper examines the effect of investor-level real-world investment constraints, including several which had not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly...
Persistent link: https://www.econbiz.de/10012938196
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Alpha Characteristics of Hedge Funds
Jain, Sameer - 2015
Hedge Fund (HF) managers are expected to create excess investment returns (Alpha) through two primary skills based … a Kalman Filtering approach to measure the skills based component of HF returns. We separately quantify value generated …
Persistent link: https://www.econbiz.de/10013037142