منابع مشابه
Hedge Funds : What Do We Know ?
hile hedge funds have been around since at least the 1940s, it has been only in the last decade or so that they have attracted widespread attention. Investors—mainly well understood by their own investors, much less by their bankers and derivatives counterparties. LTCM had managed to build up so much leverage both onand off-balance sheet that when their investments soured they were unable to me...
متن کاملDo Hedge Funds Have Enough Capital
In this paper, we examine the risk characteristics and capital adequacy of hedge funds using Value-at-Risk (based on Extreme Value Theory) as the criterion for measuring risk and estimating capital requirements. Using extensive data on nearly thirteen hundred live and dead hedge funds, we find that the vast majority of funds are adequately capitalized. In addition, a large fraction of hedge fun...
متن کاملDo Hedge Funds Outperform Stocks and Bonds?
H funds’ extensive use of derivatives, short selling, and leverage and their dynamic trading strategies create significant nonnormalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge fund portfolios. This paper uses the utility-based nonparametric and parametric performance measures to d...
متن کاملThe Alpha in Fund of Hedge Funds Do Fund of Hedge Funds Managers Add Value?
All hedge funds are not created equal. A poorly chosen portfolio of hedge funds can produce disappointing results. All fund of funds managers are not created equal, either. A poor choice of fund of funds managers can yield disappointing results. This article is designed to outline the value proposition of a fund of hedge funds operation. We conclude that fund of funds add value primarily throug...
متن کاملDynamic Linkages between Hedge Funds and Traditional Financial Assets: Evidence from Emerging Markets
This paper analyses the shortand long-term relationships between hedge funds and traditional financial assets for the main emerging market regions of Asia, Latin America, and Eastern Europe by using multivariate cointegration analysis. Because cointegrated assets are tied together over the long term, a portfolio consisting of these assets lowers uncertainty and should therefore be preferred by ...
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ژورنال
عنوان ژورنال: Brookings-Wharton Papers on Financial Services
سال: 2000
ISSN: 1533-4430
DOI: 10.1353/pfs.2000.0009