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Assessing Market Risk for Hedge Funds and Hedge Funds Portfolios
SSRN Electronic Journal, 2001The author suggests an empirical model to analyze the investment style of individual hedge funds and fund of funds. This approach is based on a mixture of the style analysis approach suggested by Sharpe [1988], the factor push approach used in stress testing, and historical simulation.
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Journal of Financial Markets, 2019
We find that hedge fund managers who do well in poker tournaments have significantly better fund performance. This effect is stronger for tournaments with more entrants, larger buy-ins, larger cash prizes and for managers who placed in higher positions or who win in multiple tournaments, suggesting poker skills are correlated with fund management ...
Yan Lu, Sandra Mortal, Sugata Ray
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We find that hedge fund managers who do well in poker tournaments have significantly better fund performance. This effect is stronger for tournaments with more entrants, larger buy-ins, larger cash prizes and for managers who placed in higher positions or who win in multiple tournaments, suggesting poker skills are correlated with fund management ...
Yan Lu, Sandra Mortal, Sugata Ray
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The Journal of Alternative Investments, 2001
The authors discuss the benefits as well as the challenges both hedge funds and the prime broker experience in order to support the continued growth of the hedge fund industry. Issues surrounding transparency, capacity, and liquidity are considered. These challenges are similar to the ones the traditional fund industry faced during the last two decades.
Jean René Giraud +2 more
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The authors discuss the benefits as well as the challenges both hedge funds and the prime broker experience in order to support the continued growth of the hedge fund industry. Issues surrounding transparency, capacity, and liquidity are considered. These challenges are similar to the ones the traditional fund industry faced during the last two decades.
Jean René Giraud +2 more
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A New Perspective on Hedge Funds and Hedge Fund Allocations
AIMR Conference Proceedings, 2003The hedge fund universe is not homogeneous and should not be considered a coherent asset class. Rather, hedge fund management is an extension of traditional active management, with some critical differences. Thus, if investors seek to place portfolio constraints on hedge fund allocation, they should do so not to limit general exposure to an asset class
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Industry herding by hedge funds
European Journal of Finance, 2021Mustafa Onur Çaǧlayan +2 more
exaly
Funds of hedge funds : not the poor cousins of the hedge fund industry
2010Not ...
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EVALUATION OF FINANCIAL RISK OF HEDGE FUNDS AND FUNDS-OF-HEDGE FUNDS
2010The primary objective of this thesis is to provide models capable of predicting financial distress in individual hedge funds (HFs) and funds-of-hedge funds (FOHFs). Two approaches were used to build these models. The first approach was based on a cross-sectional model while the second one was on a time-varying model. Using a survival analysis technique
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Anti-herding by hedge funds and its implications for expected returns
Journal of Economic Behavior and Organization, 2023Sara Ali, Ihsan Badshah, Riza Demirer
exaly