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Articles in "Hedge fund"
Risk management issues in European equity funds
The 2008 financial crisis highlighted the lack of effective risk management
in the asset management industry. There was a lack of transparency and
feasibility in the quantitative tools used to compute the value and risk
management for the exotic credit derivatives products. Clearly, risk management
was not well understood or used properly by financial companies that operated
in this turbulent environment.
This paper provides a comprehensive analysis of current risk management
practices of active European equity long-only funds and hedge funds.
Updated: 14/01/2013
Comments:
Views: 3,461
The dark side of alternative asset markets: networks, performance and risk taking
Hedge Fund network ties can lead to inferior performance and increased risks.
Updated: 03/11/2011
Comments:
Views: 3,852
Mutual fund performance: measurement and evidence
The paper provides a critical review of empirical findings on the performance of mutual funds, mainly for the US and UK. Ex-post, there are around 0-5% of top performing UK and US equity mutual funds with truly positive-alpha performance (after fees) and around 20% of funds that have truly poor alpha performance, with about 75% of active fund s which are effectively zero-alpha funds. Key drivers of relative performance are, load fees, expenses and turnover.
Updated: 20/10/2011
Comments:
Views: 4,646
The gross truth about hedge fund performance and risk: the impact of incentive fees
In this paper, we show that due to the particular nature of hedge fund incentive contracts, the use of net of fee returns can lead to considerably biased estimates of factor exposures which can distort the picture of fund manager performance.
Updated: 24/10/2011
Comments:
Views: 2,713
Hedge fund portfolio construction: a comparison of static and dynamic approaches
This article studies the impact of modeling time varying covariances/correlations of hedge fund returns in terms of hedge fund portfolio construction and risk measurement.
Updated: 29/09/2011
Comments:
Views: 3,456
A comparison of alternative approaches for determining the downside risk of hedge fund strategies
This paper compares a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies.
Updated: 29/09/2011
Comments:
Views: 3,045
Hedge fund pricing and model uncertainty
This article uses Bayesian model averaging to study model uncertainty in hedge fund pricing.
Updated: 29/09/2011
Comments:
Views: 3,059
Unbundling hedge fund beta
This article is concerned with the systematic exposures of equity hedge fund managers.
Updated: 29/09/2011
Comments:
Views: 3,226
Regular(ized) hedge fund clones
This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication.
Updated: 29/09/2011
Comments:
Views: 3,248
Hedge fund return predictability in the presence of model uncertainty and implications for wealth allocation
This paper studies hedge fund return predictability in a multivariate setting.
Updated: 13/10/2011
Comments:
Views: 2,963
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