Macroeconomic Risk and Hedge Fund Returns

Macroeconomic risk and hedge fund returns

Tail risk of hedge funds: an extreme value application

A Total Risk Measurement Framework for Hedge Funds and Funds of Funds

Do hedge funds' exposures to risk factors predict their future returns?

Can We Really 'Clone' Hedge Fund Returns? Further Evidence M.Kooli & S. Sharma Hedge Fund Replication: Does Model Combination Help? J. Teiletche Factor-Based Hedge Fund Replication with Risk Constraints R.D.F.Harris & M. Mazibas Takeover Probabilities and the Opportunities for Hedge Funds and Hedge Fund Replication to Produce Abnormal Gains A.Ravi , P.Mayall & J. Simpson Benchmarking of Replicated Hedge Funds M.D.Wiethuechter & L. Nemeth Insight - Distributional Hedge Fund Replication via State Contingent Stochastic Dominance C.H. Glaffig Non-Parametric Hedge Funds and Replication Indices Performance Analysis: A Robust Directional Application L. Germain , N. Nalpas & A. Vanhems Hedge Fund Cloning through State Space Models R. Savona Hedge Fund Return Replication via Learning Models R. McFall Lamm, Jr Linear Model for Passive Hedge Fund Replication G. Barone-Adesi & S. Siragusa Can Hedge Fund-like Returns be Replicated in a Regulated Environment? I. Markov & N. Tuchschmid A Factor-based Application to Hedge Fund Replication M. Rossi & S.L. Rodriguez

Commonality in Hedge Fund Returns: Driving Factors and Implications

Three High-Dimensional Cross-Sectional Tests for Fund Performance Evaluation

Diversification in the hedge fund industry

This paper deals with a unique form of an alternative investment: hedge funds. Specifically, the paper researches the influence of certain factors on hedge fund returns. Specifically, four factors are tested: (1) inclusion of funds into market hedge fund index, (2) possibility to close to new investors, (3) type and level of charged fees and (4) reporting delay/concealment. The data are compiled for more than 4000 funds for 23 years and cover all types and statuses of hedge funds. The most important results found no significant additional yield for increased remuneration for fund administration. Additionally, the regression confirmed the hypothesis of the time return decay in most hedge funds (so-called backfill bias). The other two hypotheses of market inclusion and openness to new capital have not been validated on a significant level. Throughout the whole text, the paper describes typical problems that are connected with hedge funds and their respective data.

Dynamic Investment Strategies of Hedge Funds

Many hedge funds claim to provide significant diversification for traditional portfolios, besides attractive returns. The authors provide empirical evidence regarding the return and diversification benefits of hedge fund investing using the CSFB/Tremont hedge fund indexes over 1994–2000. Like many others, they find that simple regressions of monthly hedge fund excess returns on monthly S&P 500 excess returns seem to support the claims about the benefits of hedge funds. The regressions show only modest market exposure and positive added value. This type of analysis can produce misleading results, however. Many hedge funds hold, to various degrees and combinations, illiquid exchange–traded securities or difficult–to–price over–the–counter securities. For the purposes of monthly reporting, hedge funds often price these securities using either the last available traded prices or estimates of current market prices. These practices can lead to reported monthly hedge fund returns that are not perfectly synchronous with monthly S&P 500 returns. Non–synchronous return data can lead to understated estimates of actual market exposure. When the authors apply standard techniques that account for this problem, they find that hedge funds in the aggregate have significantly more market exposure than simple estimates indicate. Furthermore, after accounting for this increased market exposure, they find that taken as a whole the broad universe of hedge funds does not add value over this period.

Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, and mutual fund strategies are largely trend following. The only institutional performers—the two thirds of hedge fund managers that are contrarian—earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all other manager types, especially when purchasing stocks from momentum-oriented hedge and mutual fund managers. Superior contrarian hedge fund performance exhibits persistence and stems from stock-picking ability rather than liquidity provision. Aggregate short sales further support these conclusions about the style and skill of various fund manager types. This paper was accepted by Tyler Shumway, finance.

Capacity constraints, investor information, and hedge fund returns

The Dynamis Fund: An Energy Hedge Fund

Who is smarter? Evidence from extreme financial risk contagion in hedge funds and mutual funds