Hedge Fund and Factor Returns
Replicating the Properties of Hedge Fund Returns
... about hedge fund returns is the factor model ...the returns that are due to systematic exposure to risk factors (beta returns) from those that are due to managerial skill (alpha ...
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Discretion, managerial incentives, and market conditions : the misreporting of hedge fund returns
... 3: Hedge Fund Net of Fees and Factor Monthly Return Descriptive Statistics Descriptive statistics for monthly net of fees return for hedge funds from the union of three hedge ...
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The Returns to Hedge Fund Activism
... those returns should be reversed during longer ...a hedge fund in the indicated period and then hold those shares throughout the specified ...a hedge fund in three months’ time, and the ...
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Sentiment Risk and Hedge Fund Returns
... on fund i in month t. sent-factor is the return on the top-minus-bottom sen- timent-beta stock ...size factor, ∆Term, ∆Credit, three trend-following factors on bonds, foreign exchange and commodity, ...
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Regime switching models of hedge fund returns
... the hedge funds data may be their frequent use of options or other nonlinear derivatives and dynamic regime-dependent trading ...strategy hedge funds are more likely to be long equity during up-markets and ...
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Systemic Risk, the TED Spread and Hedge Fund Returns
... of hedge fund ...of hedge fund ...in hedge fund managers decreasing their exposure to the momentum risk ...Arbitrage hedge funds increase their exposures to world ...
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Strategic Delays and Clustering in Hedge Fund Reported Returns
... timely hedge funds ...excess returns of ...of hedge fund performance delivers similar find- ...of hedge fund performance. We conclude that the timeliness of hedge ...
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The Effect of Investment Constraints on Hedge Fund Investor Returns
... 20 fund portfolios‘ remain statistically significant once we control for the impact of serial correlation, additional risk factors and the well-known Madoff ...omitted factor bias do not seem to drive our ...
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Real Estate Risk and Hedge Fund Returns 1
... market factor coefficient (NAREIT, NCREIF NPI or TBI index based) than those observed in the actual data, would suggest that sampling variation is not the sole source of the empirical observation of fund ...
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Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
... linear factor model such as the capital-asset-pricing model (CAPM) or the arbitrage pricing theory ...and returns to be linear, and thus do not properly evaluate assets with non-linear ...of returns ...
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Bear market risk and and the cross-section of hedge fund returns
... future hedge fund returns, we sort hedge funds based on their bear beta, group them into quintiles, and examine the average returns of these quintiles over the next one ...that ...
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Activist Hedge Funds : The Characteristics and Determinants of Abnormal Returns in Activist Hedge Fund Targets – an Event Study
... activist hedge fund ...the hedge fund activist ...on returns are randomly distributed and may have either a positive or a negative effect, ...
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Hedge Fund Returns: Auditing and Accuracy
... of hedge fund ...auditing hedge funds is the following: Although a vast majority of hedge funds have auditors, a significant proportion of audit dates are missing (Figure ...of hedge ...
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Risk Measures for Autocorrelated Hedge Fund Returns
... when returns are heavy ...a hedge fund is long in both exposures while a second hedge fund is long in Q and short in W (such as in a market neutral ...of hedge fund ...
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Risk measures for autocorrelated hedge fund returns
... when returns are heavy ...a hedge fund is long in both exposures while a second hedge fund is long in Q and short in W (such as in a market neutral ...
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The Statistical Properties of Hedge Fund Index Returns
... in hedge funds and if so, in which ...without hedge funds where the hedge fund component will typically be represented by a publicly available hedge fund ...index returns ...
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Returns to hedge fund activism: an international study
... 15 Japan is a special case. Ownership structures are prima facie conducive to activism; the average Japanese firm is widely held and foreign ownership has increased over the sample period. More importantly a former civil ...
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Strategic Delays and Clustering in Hedge Fund Reported Returns
... of Hedge Fund Reporting Lags and Market Conditions The table reports the results from a hazard model of the monthly returns over 01/2009-12/2011 reported by hedge funds to ...Suisse ...
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An Omega Ratio Analysis Of Global Hedge Fund Returns
... ABSTRACT Hedge funds are notorious for being opaque investment vehicles, operating beyond regulation and out of reach of the average ...investors. Hedge fund investment vehicles have become more ...
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Interpretations on Extreme Returns in the Canadian Hedge Fund Market
... Extreme Returns on Hedge Fund Portfolios Problematic for Investors (Brulhart and Klein, 2006) we analyzed the nature of extreme returns in the Canadian hedge fund ...global ...
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