Forecasting the performance of hedge fund styles
نویسندگان
چکیده
منابع مشابه
Risk in Fixed-Income Hedge Fund Styles
SEPTEMBER 2002 THE JOURNAL OF FIXED INCOME 1 H edge fund strategies came under intense scrutiny with the stressful market events surrounding the near collapse of Long-Term Capital Management (LTCM). Several studies were sponsored by regulatory agencies in the financial markets, including the President’s Working Group on Financial Markets [1999], and the Bank for International Settlements [1999a...
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We analyze hedge fund performance using the stochastic discount factor (SDF) approach and imposing the arbitrage-free requirement to correctly value the derivatives and dynamic trading strategies used by hedge funds. Using SDFs of many asset-pricing models, we evaluate hedge fund portfolios based on style and characteristics. Without the arbitrage-free requirement, pricing errors are relatively...
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We acknowledge the LBS Centre for Hedge Fund Research and Education for providing the hedge fund data used in this paper. Earlier versions of this paper were presented at Abstract This paper studies the risk in fixed-income hedge fund styles. Principal component analysis is applied to groups of fixed-income hedge funds to extract common sources of risk and return. These common sources of risk a...
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We acknowledge the LBS Centre for Hedge Fund Research and Education for providing the hedge fund data used in this paper. Earlier versions of this paper were presented at Abstract This paper studies the risk in fixed-income hedge fund styles. Principal component analysis is applied to groups of fixed-income hedge funds to extract common sources of risk and return. These common sources of risk a...
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This paper examines the impact of hedge fund redemption restrictions such as lockup period, notice period, and redemption period on fund flow, risk, and performance. We first examine the effects of redemption restrictions conditional on past poor performance. We then examine the differential impact of redemption restrictions under different market conditions. We find that during normal periods,...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2012
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2012.04.016