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We check for performance persistence of hedge funds in terms of market price average returns in each style category. In addition, we use regression models to test market timing ability. We use a sample of 773 hedge funds both alive and dead to avoid survivorship, self-selection and backfill...
Persistent link: https://www.econbiz.de/10013221458
In this article, we investigated a sample of 773 hedge funds to test performance persistence in different time periods. We bootstrapped on the average monthly returns over successive years over the whole period starting from 01/01/1990 to 01/01/2003. The estimated and simulated return was...
Persistent link: https://www.econbiz.de/10013221459
The existing literature of performance persistence of hedge funds is mixed due to different methodologies and findings. We use a comprehensive sample of 736 hedge funds to test performance persistence in different time periods. The total sample includes 773 hedge funds. We sort funds into rank...
Persistent link: https://www.econbiz.de/10013221461
This article aims at testing empirically the performance persistence of equity market neutral hedge funds. A market neutral strategy combines both long and short positions. The net exposure is equal to zero. The purpose of using such strategy is to eliminate the market risk. Guirguis,(2005),...
Persistent link: https://www.econbiz.de/10013221598
This article aims at testing empirically the performance persistence of convertible arbitrage hedge funds. The overall objective and aim of this category is the use of convertible securities. It is expected that the performance of the fund will be greater than the benchmark by using a long...
Persistent link: https://www.econbiz.de/10013221599
This article aims at testing empirically the performance persistence of managed futures hedge funds. CTA, commodity trading advisers, or managed futures managers’ trade in the commodity market. Hedge funds use managed futures in terms of indices, treasuries, fixed –income securities and...
Persistent link: https://www.econbiz.de/10013221600
This article aims at testing empirically the performance persistence of long/short equity hedge funds. The hedge fund primarily goal is to invest in long and short position of the security to take advantage from increase or decrease of the prices. Thus, he/she buys a security that is expected to...
Persistent link: https://www.econbiz.de/10013221601
This article aims at testing empirically the performance persistence of funds of funds hedge funds. Funds of hedge funds invest solely in other hedge funds. The hedge fund manager selects funds based on a specific investment strategy or a combination of different investment strategies to achieve...
Persistent link: https://www.econbiz.de/10013221603
This article aims at testing empirically the performance persistence of global macro hedge funds. Global macro hedge fund manager focus to generate positive returns based on currency futures and options. He focused on fixed – income securities derivatives products or stock indices futures and...
Persistent link: https://www.econbiz.de/10013221604
This article aims at testing empirically the performance persistence of fixed income arbitrage hedge funds. These funds engage principally in arbitrage strategies in the global corporate debt securities markets taking advantage of mispricing. Fixed income arbitrage funds take advantage of...
Persistent link: https://www.econbiz.de/10013221605