Results 21 to 30 of about 8,323 (308)
Re-Evaluating Sharpe Ratio in Hedge Fund Performance in Light of Liquidity Risk
Journal of Banking and Financial Economics, 2021 This paper demonstrates how the Sharpe Ratio can be modified by altering the measure of “total risk” in the denominator of the Sharpe Ratio (i.e., the standard deviation) to include liquidity risk, a major risk for investors in hedge funds that is ...
Richard Van Horne
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The diversification benefits of hedge funds and funds of hedge funds [PDF]
Derivatives Use, Trading & Regulation, 2007 We examine whether investors can improve their investment opportunity set through the addition of a hedge fund (HF) or fund of HF portfolio to different sets of benchmark portfolios. Using data from 1994 to 2004, we find that HF, as an asset class, improve the mean–variance frontier of sets of benchmark portfolios sorted by firm size and book-to-market
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Hedge fund replication using strategy specific factors
Financial Innovation, 2019 Hedge funds have traditionally served wealthy individuals and institutional investors with the promise of delivering protection of capital and uncorrelated positive returns irrespective of market direction, allowing them to better manage portfolio risk ...
Sujit Subhash, David Enke
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The Economists' Voice, 2008 Dean Foster and Peyton Young explain a dramatic problem in the hedge fund industry that allows hedge fund managers to profit hugely while exposing their investors to great unknown risks.
Foster, D, Young, H
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Explaining the EU’s Uneven Influence Across the International Regime Complex in Shadow Banking
Politics and Governance, 2023 This article shows that the EU has exerted uneven influence within the global regime complex in shadow banking. Why? We seek to explain the variation in the EU’s ability to exert influence across different elemental regimes—those on hedge funds and ...
Lucia Quaglia, Aneta Spendzharova
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Uluslararası Ekonomi, İşletme ve Politika Dergisi, 2022 This study aimed at comparing the performances of distinct hedge fund strategies and assessing the diversification opportunities using hedge funds. This paper analyses the overall performance of distinct hedge fund strategies (as indices) for the period ...
Hind Benmahi, Emin Avcı
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Tail risk of hedge funds: an extreme value application [PDF]
, 2007 1.1 Problem description Investors seek to maximise returns and to minimise risk. As risk is man- ageable but returns are not, these objectives can best be achieved through risk measurement/management techniques.
Gawron, Gregor Aleksander
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Opacity in Hedge Funds: Does it Create Value for Investors and Managers?
BBR: Brazilian Business Review, 2020 This paper investigates if opacity (as measured by derivatives usage) creates value for investors and the managers of hedge funds that charge performance fees.
Flávia Januzzi +2 more
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Return smoothing and its implications for performance analysis of hedge funds
Journal of Finance and Data Science, 2018 Return smoothing and performance persistence are both sources of autocorrelation in hedge fund returns. The practice of pre-processing the data in order to remove smoothing before conducting performance analysis also affects the predictability of hedge ...
Jing-zhi Huang +2 more
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Indirect effects of flow-performance sensitivity on fund performance
Borsa Istanbul Review, 2023 This study examines changes in the flow-performance sensitivity (FPS) among funds of hedge funds (FoHFs) after the global financial crisis and the Madoff scandal. We also explore whether these changes in FPS affect fund performance.
Sangik Seok +3 more
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