Hedge Fund
Performance Characteristics of Hedge Fund Indices
... comes hedge fund strategy and an index. All hedge fund strategies aim at max- imizing ...various hedge fund strategies, one question remains pertinent: Are Hedge funds ...
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Alternative Alphas from Hedge Fund ETF Speculation
... exchange-traded fund with pre-defined trading model generates stable and positive alpha comparing to a hedge fund or a fund of hedge funds? A bigger challenge, which is the key focus ...
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Hedge Fund Performance Using Scaled Sharpe And Treynor Measures
... Amongst hedge funds, the Sharpe ratio is the metric of choice and also the most commonly used measure of risk-adjusted performance (Lhabitant, 2004; Opdyke, 2007; Schmid & Schmidt, ...mutual fund ...
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Exploiting skewness to build an optimal hedge fund with a currency overlay
... a hedge fund with a currency overlay. The fund, which is based on number of international stock and bond market indices and is constructed from the perspective of a Sterling investor, allows the ...
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Hedge Fund Investing or Mutual Fund Investing: An Application of Multi Attribute Utility Theory
... non-directional hedge funds. For directional hedge funds, timing only provides a signal of profits to be earned in the second ...non-directional hedge fund strategies, risk aversion through ...
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Tracking problems, hedge fund replication and alternative beta
... As hedge fund replication based on factor models has encountered growing interest among professionals and academics, and despite the launch of numerous products (indexes and mutual funds) in the past year, ...
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Hedge fund portfolio selection with modified expected shortfall
... of hedge funds and illus- trates this approach for the EDHEC hedge fund style ...a fund of hedge funds context when optimizing individual style portfolios versus optimizing weightings ...
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An Omega Ratio Analysis Of Global Hedge Fund Returns
... quarters. Hedge funds are not the only pooled investment vehicles: Exchange Traded Funds (ETFs) are an increasingly popular ...the hedge fund industry in terms of funds under ...
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Hedge fund replication using strategy specific factors
... to hedge funds and substantial research has estab- lished that a significant component of hedge fund returns are made up of systemic ex- posures that can be expressed in terms of liquid tradable ...
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Hedge Fund Regulation: A Proposal to Maintain Hedge Funds' Effectiveness Without SEC Regulation
... terms. Hedge funds can be successful in an unregulated market when their investors are sophisticated enough to be an effective counterpart to the hedge fund ...
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Hedge Fund Performance Evaluation Using The Sharpe And Omega Ratios
... so hedge funds – characterised by asymmetric, highly-skewed returns with non-negligible higher moments – may be misdiagnosed in terms of ...replacement fund performance ...(equity) hedge funds with ...
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A Failed Attempt to Protect Hedge Fund Investors? An Inquiry into the Alternative Investment Fund Managers Directive
... threats hedge funds may pose to them, the EU has adopted the Directive 2011/61/EU of 8 June 2011 on Alternative Investment Fund Managers OJ L174/1 (hereinafter ...the hedge fund managers must ...
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Discretion, managerial incentives, and market conditions : the misreporting of hedge fund returns
... three hedge fund databases: Lipper-TASS, Hedge Fund Research, and ...monthly fund return minus the one month treasury bill divided by the standard deviation of monthly returns for each ...
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Hedge Fund Activism Coming to Europe: Lessons from the American Experience
... . Hedge funds are not subject to any diversification requirements, allowing them to concentrate their investments in a limited number of influential positions in target ...funds, hedge fund managers ...
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Recent Advances in Explaining Hedge Fund Returns: Implicit Factors and Exposures
... out-of-sample hedge fund returns predictability based on macroeconomic variables, using the Barclayhedge, TASS, HFR, CISDM, and MSCI databases from 1994 to ...the hedge fund industry) and ...
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Hedge Fund Returns under Crisis Scenarios: A Holistic Approach
... the hedge fund industry are nearly equivalent to the GDP of the ...a fund strategy level and S&P500, and a holistic and a developed dynamic correlation quantitative approach, aims to challenge ...
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In Search of Market Discipline: The Case for Indirect Hedge Fund Regulation
... limiting hedge funds to sophisticated investors, disclosure should be ...sophisticated hedge fund investors fail to ask the right questions: “Investors, perhaps awed by the reputations of LTCM’s ...
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Hedge Fund Manager Registration Under the Dodd-Frank Act
... of Hedge Fund Model, New Survey Reports ...(“[M]ost hedge funds surveyed expect their operational cost will rise due to increased costs of the regulations found in the Dodd-Frank ...Should ...
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Reframing Complexity: Hedge Fund Policy Paradigm for the Way Forward
... of hedge funds’ potential systemic ...of hedge fund regulation into basic regulatory trade-offs in need of rebalancing, while bridging the intangible human foibles involved in such ...
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Hedge fund seeding with fees-for-guarantee swaps
... As Goetzmann, Ingersoll and Ross (2003) states,“In particular, if investment capital is a scarce resource relative to potential hedge fund managers, virtually all benefits of the hedge funds may go ...
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