Download or read book Hedge Funds written by H. Kent Baker and published by Oxford University Press. This book was released on 2017-07-26 with total page 697 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge Funds: Structure, Strategies, and Performance provides a synthesis of the theoretical and empirical literature on this intriguing, complex, and frequently misunderstood topic. The book dispels some common misconceptions of hedge funds, showing that they are not a monolithic asset class but pursue highly diverse strategies. Furthermore, not all hedge funds are unusually risky, excessively leveraged, invest only in illiquid asses, attempt to profit from short-term market movements, or only benefit hedge fund managers due to their high fees. Among the core issues addressed are how hedge funds are structured and how they work, hedge fund strategies, leading issues in this investment, and the latest trends and developments. The authors examine hedge funds from a range of perspectives, and from the theoretical to the practical. The book explores the background, organization, and economics of hedge funds, as well as their structure. A key part is the diverse investment strategies hedge funds follow, for example some are activists, others focusing on relative value, and all have views on managing risk. The book examines various ways to evaluate hedge fund performance, and enhances understanding of their regulatory environment. The extensive and engaging examination of these issues help the reader understands the important issues and trends facing hedge funds, as well as their future prospects.
Download or read book Performance in the Hedge Funds Industry written by Pierre-Antoine Bares and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study focuses on a sensible issue in the hedge fund industry, namely the performance persistence of hedge fund managers.We first analyse the existence of relative performance persistence among individual hedge funds on a cumulative return basis. It is shown that the Specialist Credit and Relative Value investment strategies contain the highest proportion of managers who are continuously outperforming their peers. Furthermore, we observe no evidence that return volatility causes persistence.Using hedge funds average returns for ranking purposes, we then examine the persistence of hedge funds portfolios. Persistence is detected over short-term holding periods (one to three months), but it rapidly vanishes as the formation or holding period lengthens. A half reversal emerges when the holding period reaches 36 months. However, a complete reversal of the portfolios' average returns is never observed. Finally, we use an APT framework to adjust for risk and use the managers' abnormal return as a performance criteria to examine hedge funds' long-term performance persistence. We find a slight overreaction pattern that is more pronounced among traditionally directional strategies.
Download or read book Hedge Fund Persistence Performance written by Bernad Kevin and published by LAP Lambert Academic Publishing. This book was released on 2014-02 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this persistence varies with fund characteristics over the time period from January 2000 to December 2012. We confront hedge funds by a classification based on their strategy issued from a merged sample from the HFR Hedge funds Indexes databases. We use the benchmarked hedge fund indexes returns against the S&P500 to obtain relative returns. Our sample is composed of monthly data, representing 154 observations. Our aim is to analyze the serial correlation of these corrected dataset by running different tests. After a graphical and an autocorrelation analysis, we run a Runs test and compute the Hurst exponent. These methods are both particularly relevant in the analysis of financial series. Finally, by comparing the results of these different approaches, we identify which strategy generates most persistence.
Download or read book Performance Persistence of Hedge Funds written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate, for each hedge fund strategy, the likelihood of performance persistence in different market regimes. The analysis is conducted on funds in the Hedge Fund Research (HFR) database within short-horizons (up to one year) during the period from January 1994 to December 2012. We found the likelihood of persistence generally tends to increase in bearish market. For instance, at 12-month horizon the likelihood of persistence for GM and OTH funds is higher in bearish times than in bullish times. Although this is true from the statistical point of view, the simulated portfolio returns do not show a strong pattern of persistence in bearish market, thus decreases the value of use in reality. RV and MN funds, however, have the same level of persistence likelihood across market regimes, and the simulated returns show a strong sign of persistence among winner-winners and loser-losers in both market regimes. Hence, managers' skills are predictable and an active fund-selection process based on past performance could be undertaken for RV and MN funds.
Download or read book Hedge Funds written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2011-08-04 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whether already experienced with hedge funds or just thinking about investing in them, readers need a firm understanding of this unique investment vehicle in order to achieve maximum success. Hedge Funds unites over thirty of the top practitioners and academics in the hedge fund industry to provide readers with the latest findings in this field. Their analysis deals with a variety of topics, from new methods of performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, an understanding and applicability of the results as well as theoretical developments are stressed. Filled with in-depth insight and expert advice, Hedge Funds helps readers make the most of this flexible investment vehicle.
Download or read book Performance Persistence and the Source of Returns for Hedge Funds written by Ardian Harri and published by . This book was released on 2002 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests whether performance persistence exists in the hedge fund industry in the sense that some funds have consistently higher returns than others. Several procedures are used to determine if performance persists. The results show that performance persists in hedge funds with some funds showing the greatest persistence across all the procedures. The results also indicate a strong negative relation between hedge fund capitalization and returns. The results are consistent with the hypothesis that hedge fund managers exploit market inefficiencies.
Download or read book Performance Persistence of Event Driven Hedge Funds written by Constantin Claussen and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Event-Driven strategy is one of the most popular and fastest growing investment approaches within the hedge fund industry. Hedge fund investors often base their investment decisions on past returns because they expect this to be a good indicator of future performance. However, this is a controversial topic in the academic literature. For this reason, the aim of this study is to provide empirical evidence on Event-Driven hedge fund performance persistence. Therefore, this paper investigates the raw returns and two risk-adjusted performance measures in the period from 2008 to June 2015 for their level of performance persistence by applying both non-parametric and parametric two-period tests. The findings of this study suggest that there is persistence of up to 12 months in the performance of Event-Driven hedge funds. However, the results further indicate that investors should be cautious when making their investment decisions based on performance persistence. Levels of persistence fluctuate highly depending on the underlying performance measure or methodology, as well as time horizon and because the profitable exploitation of short-term persistence is strongly limited due to liquidity restrictions of hedge funds.
Download or read book The Performance Persistence of Equity Long short Hedge Funds written by Werner Bonadurer and published by . This book was released on 2007 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mutual Fund Performance and Performance Persistence written by Peter Lückoff and published by Springer Science & Business Media. This book was released on 2011-01-13 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
Download or read book Hedge Fund Performance Persistence written by Nicole M. Boyson and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this persistence varies with fund characteristics, such as size and age. Previous research has found that funds face capacity constraints, that investment flows chase past performance, and that as funds age, they become more passively managed, which reduces the likelihood of performance persistence as funds grow older and larger. Consistent with this model, this study found that performance persistence is strongest among small, young funds. A portfolio of these funds with prior good performance outperformed a portfolio of large, mature funds with prior poor performance by 9.6 percent per year.
Download or read book Survival Look Ahead Bias and the Persistence in Hedge Fund Performance written by Guillermo Baquero and published by . This book was released on 2009 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we analyze the persistence in the performance of hedge funds taking into account look-ahead bias (multi-period sampling bias). To do so, we model liquidation of hedge funds and analyze how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. In contrast to earlier results for mutual funds, the impact of look-ahead bias is exacerbated for hedge funds due to their greater level of total risk. At the four quarter horizon, look-ahead bias can be as large as 3.8%, depending upon the decile of the distribution. At the quarterly level, we find positive persistence in hedge fund returns, also after correcting for investment style. The empirical pattern at the annual level is also consistent with positive persistence, but its statistical significance is weak.
Download or read book Hedge Funds written by Vikas Agarwal and published by Now Publishers Inc. This book was released on 2005 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge Funds summarizes the academic research on hedge funds and commodity trading advisors. The hedge fund industry has grown tremendously over the recent years. According to some industry estimates, hedge funds have increased from $39 million in 1990 to about $972 million in 2004 and the total number of hedge funds has gone up from 610 to 7,436 over the same period. At the same time, hedge fund strategies have changed significantly. In 1990 the macro strategy dominated the industry while in 2004 the equity hedge strategy had the largest share of the market. There has also been a shift in the type of investor in hedge funds. In the early 1990's the typical investor was a high net-worth individual investor, today the typical investor is an institutional investor. Thus, the hedge fund market has not only grown tremendously, but the nature of the market has changed. Despite the enormous growth of this industry, there is limited information available on hedge funds. As a result, there is a need for rigorous research from both the investors' and regulators' point of view. Investors need research to better understand their investment and their risk exposure. This research also helps investors recognize the extent of diversification benefits hedge funds offer in combination with investments in traditional asset classes, such as stocks and bonds. Regulators can use this research to identify situations where regulation may be needed to protect investors' interests and to understand the impact hedge funds trading strategies have on the stability of the financial markets. The first part of Hedge Funds summarizes hedge fund performance, including comparisons of risk-return characteristics of hedge funds with those of mutual funds, factors driving hedge fund returns, and persistence in hedge fund performance. The second part reviews research regarding the unique contractual features and characteristics of hedge funds and their influence on the risk-return tradeoffs. The third part reviews the role of hedge funds in a portfolio including the extent of diversification benefits and limitations of standard mean-variance framework for asset allocation. Finally, the authors summarize the research on the biases in hedge fund databases.
Download or read book Survival Look Ahead Bias and Persistence in Hedge Fund Performance written by Guillermo Baquero and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the performance persistence in hedge funds taking into account look-ahead bias (multi-period sampling bias). We model liquidation of hedge funds by analyzing how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. In contrast to earlier results for mutual funds, the impact of look-ahead bias is exacerbated for hedge funds due to their greater level of total risk. At the four-quarter horizon, look-ahead bias can be as much as 3.8%, depending upon the decile of the distribution. We find positive persistence in hedge fund quarterly returns after correcting for investment style. The empirical pattern at the annual level is also consistent with positive persistence, but its statistical significance is weak.
Download or read book Information Spillovers and Performance Persistence for Hedge Funds written by Vincent Glode and published by . This book was released on 2011 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a simple model that rationalizes performance persistence in hedge fund limited partnerships. In contrast to the model for mutual funds of Berk and Green (2004), the learning in our model pertains to profitability associated with an innovative trading strategy or an emerging sector, rather than ability specific to the fund manager. As a result of potential information spillovers, which would increase competition in the sector if informed investors were to partner with nonincumbent managers, incumbent managers will let informed investors benefit from increases in estimated profitability following high returns realized with the trading strategy or in the sector.
Download or read book Performance Persistence of Hedge Funds written by Stephan Glatz and published by . This book was released on 2010 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multi Period Performance Persistence Analysis of Hedge Funds written by Vikas Agarwal and published by . This book was released on 2000 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since hedge funds specify significant lockup periods, we investigate persistence in the performance of hedge funds using a multi-period framework in which the likelihood of observing persistence by chance is lower than that in the traditional two-period framework. Under the null hypothesis of no manager skill (no persistence), the theoretical distribution of observing wins or losses follows a binomial distribution. We test this hypothesis using the traditional two-period framework and compare the findings with the results obtained using our multi-period framework. We examine whether persistence is sensitive to the length of return measurement intervals by using quarterly, half-yearly and yearly returns. We find maximum persistence at quarterly horizon indicating that persistence among hedge fund managers is short-term in nature. It decreases as one moves to yearly returns and this finding is not sensitive to whether returns are calculated on a pre- or post-fee basis suggesting that the intra-year persistence finding is not driven by the way performance fees are imputed. The level of persistence in the multi-period framework is considerably smaller than that in the two-period framework with virtually no evidence of persistence using yearly returns under the multi-period framework. Finally persistence, whenever present, seems to be unrelated to whether the fund took directional bets or not.
Download or read book Hedge Fund Alpha written by John M. Longo and published by World Scientific. This book was released on 2009 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds are perhaps the hottest topic in finance today, but little material of substance to date has been written on the topic. Most books focus on how to set up a hedge fund and the basic strategies, while few to none focus on what matters most: generating and understanding investment performance. This book takes an exclusive look at the latter, including an analysis of the areas that are most likely to generate strong investment returns OCo namely, the emerging markets of Brazil, Russia, India and China. The book will be invaluable to not only financial professionals, but anyone interested in learning about hedge funds and their future.
