Nonparametric assessment of hedge fund performance
نویسندگان
چکیده
منابع مشابه
Hedge Fund Performance Evaluation:
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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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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The concept of the gamma of a nanced return as the highest level of stress that a return distribution can withstand is introduced. Stress is measured by positive expectation under a concave distortion of the return distribution accessed. Four distortions introduced in Cherny and Madan (2008) are employed in studying the distribution of returns available in the hedge fund universe. It is shown ...
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The search for methodologies that accurately measure performance and performance persistence continues to evolve. This is especially true for investment strategies such as hedge funds, which have been shown, in several instances, to not be normally distributed. In this article, we evaluate performance of hedge funds using conditional approaches and GMM. Unlike the Sharpe ratio or Jensen’s alpha...
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Presumably, hedge fund managers pursue unique strategies because they have great new ideas and superior investment skills, while less skilled managers are more likely to herd and follow publicly known investment ideas. For investors, knowing how innovative and skillful their managers are is thus extremely important but very difficult because of the opaque nature of hedge fund operations. In thi...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2020
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2019.08.002