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Incentives and Endogenous Risk Taking : A Structural View of Hedge Funds Alphas
Buraschi, Andrea - 2013
Hedge fund managers are subject to several non-linear incentives: (a) performance fee options (call); (b) equity investor's redemption options (put); (c) prime broker contracts allowing for forced deleverage (put). The interaction of these option-like incentives affects optimal leverage ex-ante,...
Persistent link: https://www.econbiz.de/10013093719
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Evaluating Hedge Funds with Pooled Benchmarks
O'Doherty, Michael S. - 2014
The evaluation of hedge fund performance is challenging given the flexible nature of hedge funds' strategies and their lack of operational transparency. As a result inference about skill is inevitably contaminated by the error in the benchmark model. To address this concern, we propose a model...
Persistent link: https://www.econbiz.de/10013064917
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Dynamic Style Analysis of Hedge Funds
Oberuc, Richard - 2009
Dynamic Style Analysis is a returns-based style analysis using quantitative techniques to determine allocations that could have been made historically to one or more passive investment indices in order to replicate as close as possible the return stream of a fund over a selected time interval....
Persistent link: https://www.econbiz.de/10013157722
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Evaluating Hedge Fund Performance
Guirguis, Michel - 2020
In this paper, we are using Jensen's alpha, Sharpe ratio and multi-factor models to test the performance of hedge funds for the period 1998 to 2003. Hedge fund returns exhibit a high degree of non-linearity and kurtosis. Our results suggest that for the examined period hedge funds provide...
Persistent link: https://www.econbiz.de/10012833427
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Hedge Funds with Style
Brown, Stephen J. - 2001
The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long-short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their...
Persistent link: https://www.econbiz.de/10012787775
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Evaluating Hedge Fund Performance
Smith, David M. - 2017
A diverse set of measures allows investors to evaluate hedge fund portfolio managers' performance across different dimensions. The various measures quantify the effectiveness of security selection, account for investor flows, operating risk, and worst-case investment scenarios, net out benchmark...
Persistent link: https://www.econbiz.de/10012954154
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Hedge Fund Performance in Bull and Bear Markets : Alpha Creation and Risk Exposure
Frydenberg, Stein - 2019
The main purpose of this paper is to investigate if hedge funds create abnormal risk-adjusted returns, both during bull and bear markets. The model applied is an extended multi-factor model. The dataset consists of hedge fund return series with data from a fifteen-year period ranging from 1994...
Persistent link: https://www.econbiz.de/10012906056
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Managing a Portfolio of Hedge Funds with First-Loss Scheme
Tang, Tony - 2018
In the so-called first-loss scheme fee structure for hedge funds, investors offer more incentive fee than in the traditional scheme, in exchange for some protection of the first loss. The scheme gains more attentions in the recent years, given the current low interest rate environment and the...
Persistent link: https://www.econbiz.de/10012910573
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A Macroeconomic Hedge Portfolios and the Cross-Section of Stock Returns
Renz, Maximilian - 2018
the economy. The so-called “macroeconomic hedge portfolio” (MHP) is formed based on a stock's hedging ability, which we …
Persistent link: https://www.econbiz.de/10012936099
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Income Hedging, Dynamic Style Preferences, and Return Predictability
Addoum, Jawad M. - 2018
We propose a theoretical measure of income hedging demand and show that it affects asset prices. We focus on the value …, we demonstrate that state-level hedging demands predict state-level HML returns. A long-short portfolio that exploits … this hedging-induced predictability earns an annualized risk-adjusted return of 6% …
Persistent link: https://www.econbiz.de/10012937992