This study investigates the differences in mortality between systematic and discretionary Commodity Trading Advisors, CTAs, over 1994-2009 period, the longest horizon than any encompassed in the literature. This study shows that liquidation is not the same as failure in the CTA industry. New...

The superior performance of Islamic equity investment funds has received a considerable attention during the recent financial crisis. However, it is not yet clear whether such a difference in performance stems from management skills (stock selection and market timing) of fund managers or the...

This paper examines the out-of-sample performance of asset allocation strategies that use conditional multi-factor models to forecast expected returns and estimate the future variance and covariance. We find that strategies based on conditional multi-factor models outperform strategies based on...

This paper compares downside risk measures that incorporate higher return moments with traditional risk measures such as standard deviation in predicting hedge fund failure. When controlling for styles, performance, fund age, size, lockup, high-water mark, and leverage, we find that funds with...

This study extends Seck's (1996) approach to investigate the degree of substitutability between equity real estate investment trusts (EREITs) and mortgage real estate investment trusts (MREITs). The variance ratio test and the variance decomposition of forecast errors yield results indicating...

We posit that institutional investors' allocation to exchange-traded funds (ETFs) is an outgrowth of inferior skill or a lack of commitment to successful active stock selection. Using institutional investors' 13F holdings, we show that ETF users — as compared to non-users — manage their...

Implied expected returns are the expected returns for which a supposedly mean-variance efficient portfolio is effectively efficient given a covariance matrix. We analyze the statistical properties of monthly implied expected return estimates and study their sensitivity to the choice of a...

Using a consolidated hedge fund database, we form hedge fund portfolios that combine optimally the information revealed by fund characteristics. We show that investors maximizing constant relative risk-aversion (CRRA) utility should tilt their portfolio weights towards smaller funds with high...

This paper analyzes the risk-return trade-off in the hedge fund industry. We compare semi-deviation, value-at-risk (VaR), Expected Shortfall (ES), and Tail Risk (TR) with standard deviation at the individual fund level as well as the portfolio level. Using the Fama and French (1992) methodology...

This paper studies hedge fund performance and confirms reports of an aggregate decline over the past decade. We test whether a comprehensive set of prediction models can select subsets of individual funds that buck the trend and subsequently outperform. Seven of the predictors reliably pick...