IDEAS home Printed from https://ideas.repec.org/r/eee/empfin/v11y2004i1p55-89.html
   My bibliography  Save this item

Analysis of hedge fund performance

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Thonifho Pollen Muridili & Ruschelle Sgammini & Sune Ferreira-Schenk & John George Jansen van Rensburg & Daniel Mokatsanyane, 2022. "The Impact of Covid-19 on the Performance of Hedge Funds Compared to Mutual Funds in South Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 12(6), pages 133-144, November.
  2. François-Éric Racicot & Raymond Théoret, 2009. "Integrating volatility factors in the analysis of the hedge fund alpha puzzle," Journal of Asset Management, Palgrave Macmillan, vol. 10(1), pages 37-62, April.
  3. Gökçe Soydemir & Jan Smolarski & Sangheon Shin, 2014. "Hedge funds, fund attributes and risk adjusted returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 133-149, January.
  4. Stafylas, Dimitrios & Andrikopoulos, Athanasios, 2020. "Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods," Research in International Business and Finance, Elsevier, vol. 52(C).
  5. Keith Elliott & Gianluca Marcato, 2011. "Alternative investments: return driving actors," ERES eres2011_151, European Real Estate Society (ERES).
  6. Darolles, Serge & Vaissié, Mathieu, 2012. "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1067-1078.
  7. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
  8. Krzysztof Jackowicz & Oskar Kowalewski & Łukasz Kozłowski, 2011. "The Short and Long Term Performance Persistence in the Central European Banking Industry," Contemporary Economics, Vizja University, vol. 5(4), December.
  9. Giannikis, Dimitrios & Vrontos, Ioannis D., 2011. "A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1399-1414, June.
  10. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
  11. Agarwal, Vikas & Kale, Jayant R., 2007. "On the relative performance of multi-strategy and funds of hedge funds," CFR Working Papers 07-11, University of Cologne, Centre for Financial Research (CFR).
  12. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
  13. Benjamin R. Auer, 2016. "Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value?," Journal of Business Ethics, Springer, vol. 135(2), pages 381-397, May.
  14. Huang, Ying Sophie & Chen, Carl R. & Kato, Isamu, 2017. "Different strokes by different folks: The dynamics of hedge fund systematic risk exposure and performance," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 367-388.
  15. François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
  16. Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 442-471, December.
  17. Rachida Hennani & Michel Terraza, 2012. "Value-at-Risk stressée chaotique d’un portefeuille bancaire," Working Papers 12-23, LAMETA, Universtiy of Montpellier, revised Sep 2012.
  18. Robert J. Bianchi & Michael E. Drew & Thanula R. Wijeratne, 2010. "Systemic Risk, the TED Spread and Hedge Fund Returns," Discussion Papers in Finance finance:201004, Griffith University, Department of Accounting, Finance and Economics.
  19. Braun, Alexander & Ben Ammar, Semir & Eling, Martin, 2019. "Asset pricing and extreme event risk: Common factors in ILS fund returns," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 59-78.
  20. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
  21. Peltomäki, Jarkko, 2008. "Emerging market hedge funds and the yen carry trade," Emerging Markets Review, Elsevier, vol. 9(3), pages 220-229, September.
  22. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," MetaArXiv vq8cp_v1, Center for Open Science.
  23. Muteba Mwamba, John, 2014. "Another reason why the efficient market hypothesis is fuzzy," MPRA Paper 64383, University Library of Munich, Germany.
  24. Asif, Raheel & Frömmel, Michael & Mende, Alexander, 2022. "The crisis alpha of managed futures: Myth or reality?," International Review of Financial Analysis, Elsevier, vol. 80(C).
  25. Soumaya Ben Khelife & Christian Urom & Khaled Guesmi & Ramzi Benkraiem, 2022. "American hedge funds industry, market timing and COVID-19 crisis," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 390-399, September.
  26. Leal, Laura Simonsen & Almeida, Caio, 2017. "An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
  27. Clemens Sialm & Zheng Sun & Lu Zheng, 2020. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 33(10), pages 4771-4810.
  28. Harry. M Kat & Joelle Miffre, 2002. "Performance Evaluation and Conditioning Information: The case of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-10, Henley Business School, University of Reading.
  29. Andrew Ang & Andrés Ayala & William N. Goetzmann, 2018. "Investment beliefs of endowments," European Financial Management, European Financial Management Association, vol. 24(1), pages 3-33, January.
  30. Auer, Benjamin R. & Schuhmacher, Frank, 2016. "Do socially (ir)responsible investments pay? New evidence from international ESG data," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 51-62.
  31. Martin Eling, 2009. "Does Hedge Fund Performance Persist? Overview and New Empirical Evidence," European Financial Management, European Financial Management Association, vol. 15(2), pages 362-401, March.
  32. Ravi Jagannathan & Alexey Malakhov & Dmitry Novikov, 2010. "Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation," Journal of Finance, American Finance Association, vol. 65(1), pages 217-255, February.
  33. Marcus Deetz, 2019. "K-Means Clustering of Self-Organizing Maps: An Empirical Study on the Information Content of Self-Classification of Hedge Fund Managers," International Journal of Management Science and Business Administration, Inovatus Services Ltd., vol. 5(3), pages 43-57, March.
  34. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2018. "Hedge fund performance attribution under various market conditions," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 221-237.
  35. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
  36. Marat Molyboga & Seungho Baek & John F. O. Bilson, 2017. "Assessing hedge fund performance with institutional constraints: evidence from CTA funds," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 547-565, December.
  37. Steri, Roberto & Giorgino, Marco & Viviani, Diego, 2009. "The Italian hedge funds industry: An empirical analysis of performance and persistence," Journal of Multinational Financial Management, Elsevier, vol. 19(1), pages 75-91, February.
  38. Emanuel Derman & Kun Soo Park & Ward Whitt, 2010. "A stochastic-difference-equation model for hedge-fund returns," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 701-733.
  39. Mark Hutchinson & Liam Gallagher, 2008. "Simulating convertible bond arbitrage portfolios," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1247-1262.
  40. Ardia, David & Barras, Laurent & Gagliardini, Patrick & Scaillet, Olivier, 2024. "Is it alpha or beta? Decomposing hedge fund returns when models are misspecified," Journal of Financial Economics, Elsevier, vol. 154(C).
  41. Bessler, Wolfgang & Drobetz, Wolfgang & Henn Overbeck, Jacqueline, 2005. "Hedge Funds: Die Königsdisziplin" der Kapitalanlage," Working papers 2005/04, Faculty of Business and Economics - University of Basel.
  42. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2006. "Is There Hedge Fund Contagion?," Working Paper Series 2006-1, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  43. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
  44. Viet Do & Robert Faff & Paul Lajbcygier & Madhu Veeraraghavan & Mikhail Tupitsyn, 2016. "Factors affecting the birth and fund flows of CTAs," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 324-352, May.
  45. Alexander Carlo & Piet Eichholtz & Nils Kok & Ruud Wijnands, 2023. "Pension fund investments in infrastructure," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 329-345, September.
  46. Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D., 2009. "Quantile regression analysis of hedge fund strategies," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 264-279, March.
  47. Muteba Mwamba, John, 2013. "Posterior outperformance, selectivity and market timing skills in hedge funds: do they persist altogether?," MPRA Paper 64388, University Library of Munich, Germany.
  48. Coën, Alain & Hübner, Georges, 2009. "Risk and performance estimation in hedge funds revisited: Evidence from errors in variables," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 112-125, January.
  49. Jordão, Gustavo A. & de Moura, Marcelo L., 2011. "Performance analysis of Brazilian hedge funds," Journal of Multinational Financial Management, Elsevier, vol. 21(3), pages 165-176, July.
  50. Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2694-2708, November.
  51. Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2024. "Is research on hedge fund performance published selectively? A quantitative survey," Journal of Economic Surveys, Wiley Blackwell, vol. 38(4), pages 1085-1131, September.
  52. Ślepaczuk Robert & Sakowski Paweł & Zakrzewski Grzegorz, 2018. "Investment Strategies that Beat the Market. What Can We Squeeze from the Market?," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 36-55, December.
  53. Jackwerth, Jens Carsten & Slavutskaya, Anna, 2016. "The total benefit of alternative assets to pension fund portfolios," Journal of Financial Markets, Elsevier, vol. 31(C), pages 25-42.
  54. Nicola Metzger & Vijay Shenai, 2019. "Hedge Fund Performance during and after the Crisis: A Comparative Analysis of Strategies 2007–2017," IJFS, MDPI, vol. 7(1), pages 1-31, March.
  55. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
  56. Dariusz Filip, 2011. "Performance Persistence of Equity Funds in Hungary," Contemporary Economics, Vizja University, vol. 5(1), March.
  57. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
  58. Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2016. "Evaluating Hedge Funds with Pooled Benchmarks," Management Science, INFORMS, vol. 62(1), pages 69-89, January.
  59. Jenke Ter Horst & Marno Verbeek, 2007. "Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry," Review of Finance, European Finance Association, vol. 11(4), pages 605-632.
  60. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
  61. Sadefo Kamdem, J. & Mbairadjim Moussa, A. & Terraza, M., 2012. "Fuzzy risk adjusted performance measures: Application to hedge funds," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 702-712.
  62. Keith Cuthbertson & Dirk Nitzsche & Niall O'Sullivan, 2010. "Mutual Fund Performance: Measurement and Evidence," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 19(2), pages 95-187, May.
  63. Perez Katarzyna, 2014. "Polish Absolute Return Funds And Stock Funds. Short And Long Term Performance Comparison," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 179-197, December.
  64. Laura Molero González & Juan E. Trinidad-Segovia & Marta Vidal & Javier Vidal-García, 2025. "Predictability of Korean mutual fund performance," Economics Bulletin, AccessEcon, vol. 45(1), pages 401-417.
  65. Denvir, Emily & Hutson, Elaine, 2006. "The performance and diversification benefits of funds of hedge funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 4-22, February.
  66. Mark C. Hutchinson & Liam A. Gallagher, 2010. "Convertible Bond Arbitrage: Risk and Return," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 206-241, January.
  67. Luis Vicente & Luis Ferruz, 2005. "Performance persistence in Spanish equity funds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1305-1313.
  68. Liam Gallagher & Mark Hutchinson & John O’Brien, 2018. "Does Convertible Arbitrage Risk Exposure Vary Through Time?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-25, December.
  69. Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.
  70. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
  71. Mark C. Hutchinson & Liam A. Gallagher, 2010. "Convertible Bond Arbitrage: Risk and Return," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 206-241, January.
  72. Viet Do & Robert Faff & Madhu Veeraraghavan, 2009. "Do Australian hedge fund managers possess timing abilities?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(1), pages 27-38.
  73. Auer, Benjamin R., 2014. "Should hedge funds be cautious reporting high returns?," Research in International Business and Finance, Elsevier, vol. 30(C), pages 195-201.
  74. Stephanos Papadamou & Nikolaos A. Kyriazis & Lydia Mermigka, 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis," IJFS, MDPI, vol. 5(1), pages 1-20, March.
  75. Francesco Lisi, 2011. "Dicing with the market: randomized procedures for evaluation of mutual funds," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 163-172.
  76. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
  77. Wilkens, Marco & Yao, Juan & Jeyasreedharan, Nagaratnam & Oehler, Patrick, 2013. "Measuring the performance of hedge funds using two-stage peer group benchmarks," Working Papers 2013-18, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Jun 2013.
  78. Henn Overbeck, Jacqueline & Meier, Iwan, 2005. "Performance Analysis of Hedge Fonds," Working papers 2005/06, Faculty of Business and Economics - University of Basel.
  79. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
  80. Manuel Ammann & Otto Huber & Markus Schmid, 2013. "Hedge Fund Characteristics and Performance Persistence," European Financial Management, European Financial Management Association, vol. 19(2), pages 209-250, March.
  81. Capocci, Daniel, 2006. "Neutrality of market neutral funds," Global Finance Journal, Elsevier, vol. 17(2), pages 309-333, December.
  82. Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.
  83. Dieter G. Kaiser & Denis Schweizer & Lue Wu, 2012. "Efficient Hedge Fund Strategy Allocations – Systematic Framework for Investors that Incorporates Higher Moments," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(5), pages 241-260, December.
  84. Huyen Nguyen-Thi-Thanh, 2007. "Assessing Hedge Fund Performance: Does the Choice of Measures Matter?," Working Papers halshs-00184814, HAL.
  85. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2017. "Recent advances in explaining hedge fund returns: Implicit factors and exposures," Global Finance Journal, Elsevier, vol. 33(C), pages 69-87.
  86. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.
  87. Martin Eling & Simone Farinelli & Damiano Rossello & Luisa Tibiletti, 2010. "Skewness in hedge funds returns: classical skewness coefficients vs Azzalini's skewness parameter," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 6(4), pages 290-304, September.
  88. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.
  89. Klubinski, William & Verousis, Thanos, 2019. "On the underestimation of risk in hedge fund performance persistence: geolocation and investment strategy effects," MPRA Paper 109766, University Library of Munich, Germany, revised 03 May 2021.
  90. Christiansen, Claus Bang & Madsen, Peter Brink & Christensen, Michael, 2003. "Further Evidence on Hedge Funds Performance," Finance Working Papers 03-5, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  91. Muteba Mwamba, John, 2012. "On the optimality of hedge fund investment strategies: a Bayesian skew t distribution model," MPRA Paper 50323, University Library of Munich, Germany.
  92. Stanisław Urbański, 2017. "Short-, medium- and long-run performance persistence of investment funds in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 343-374.
  93. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.
  94. Soumaya Ben Khelifa & Dorra Mezzez Hmaied, 2016. "Do European hedge fund managers time market liquidity?," Journal of Asset Management, Palgrave Macmillan, vol. 17(6), pages 393-407, October.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.