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Long/Short Equity Related Scholarly Compositions
See also:
Long/Short Equity
Related News,
Long/Short Equity
Related Books,
or
Long/Short Equity Home Page.
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Table of Contents:
-
Alphabetical Order
- Asset-Based Hedge-Fund Styles and
Portfolio Diversification
-
EXTRACTING PORTABLE ALPHAS FROM EQUITY
LONG/SHORT HEDGE FUNDS
- Hedge Funds Investing: A
Quantitative Look Inside the Black Box
- An Overview of Long-Short Equity
Investing
- Persistence in Hedge Fund Performance: The True
Value Of A Track Record
- A primer on hedge funds
- Quantitative Selection of
Long-Short Hedge Funds
- The Statistical Properties of
Hedge Fund Index Returns and their Implications for Investors
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Asset-Based Hedge-Fund Styles and
Portfolio Diversification
by William Fung & David A. Hsieh
PI Asset Management, LLC & Duke University
June 30, 1999
Abstract
Asset-based style factors link returns of hedge-fund
strategies to observed market prices. They provide explicit and
unambiguous descriptions of hedge-fund strategies that tells us
both the nature as well as the quantity of risk. Asset-based
style factors are key inputs to portfolio construction and for
benchmarking hedge-fund performance on a risk-adjusted basis...
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EXTRACTING PORTABLE ALPHAS FROM EQUITY
LONG/SHORT HEDGE FUNDS
by William
Fung & David A. Hsieh
Abstract
This paper shows empirically that Equity Long/Short (Equity L/S)
hedge funds have significant alpha to both conventional as well
as alternative (hedge fund-like) risk factors utilizing hedge
fund data from three major databases. Following the terminology
introduced in Fung and Hsieh (2003) Journal of Fixed Income 58,
16–27, we call these Equity alternative alphas (or Equity AAs
for short). Equity AAs are extracted from Equity L/S hedge fund
returns by first identifying the systematic risk factors
inherent in their strategies...
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Hedge Funds Investing: A
Quantitative Look Inside the Black Box
by François-Serge Lhabitant
August 2001
Abstract
There is an increasing amount of evidence that shows
the benefits of considering hedge funds as an asset class at the
strategic asset allocation level. The investors’ greatest
challenge remains the identification of desirable investment
vehicles, since very little formal quantitative analysis of
hedge funds has been done in the past. In this paper, we suggest
an innovative approach to hedge fund investing, which is valid
at the individual fund level as well as at the aggregate
portfolio level (e.g. portfolio of hedge funds)...
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Persistence in Hedge Fund Performance: The True
Value Of A Track Record
by Harry M. Kat & Faye Menexe
2002
Abstract
In this paper we study the persistence and
predictability of several statistical parameters of individual
hedge fund returns. We find little evidence of persistence in
mean returns but do find strong persistence in hedge funds'
standard deviations and their correlation with the stock market.
Persistence in skewness and kurtosis is low but this could be
due to the small size of the sample used...
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A primer on hedge funds
by William
Fung & David A. Hsieh
June, 1999
Abstract
In this paper, we provide a rationale for how hedge funds are
organized and some insight on how hedge fund performance differs
from traditional mutual funds. Statistical differences among
hedge fund styles are used to supplement qualitative differences
in the way hedge fund strategies are described. Risk factors
associated with different trading styles are discussed...
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Quantitative Selection of
Long-Short Hedge Funds
by Kaifeng Chen & Alexander Passow
University of Lausanne, GOTTEX, and FAME
July, 2003
Abstract
We
develop a quantitative model to select hedge funds in the
long-short equity sector. The selection strategy is verified on
a survivorship-bias-free hedge fund database, from January 1990
to September 2002. We focus on the hedge funds acting
exclusively in the U.S. market. We identify Fama-French factors
and GSCI as the risk factors. Based on the evidence that many
hedge funds do not exhibit persistent performance, we believe
that persistent alpha is not generated based on publicly
available information and opportunistic changes of exposure with
respect to the risk factors. Instead we expect moderate exposure
funds to be those who establish investment decisions based on
special information or proprietary research. A hedge fund
selection strategy is introduced and checked with out-of-sample
data. A simulation of hedge funds from 1927 to 2002 is
conducted. The funds selected according to our strategy
demonstrate superior performance persistently.
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The Statistical Properties of
Hedge Fund Index Returns and their Implications for Investors
by Chris Brooks & Harry M. Kat
ISMA Centre
November 10, 2001
Abstract
The monthly return distributions of many hedge fund
indices exhibit highly unusual skewness and kurtosis properties
as well as first-order serial correlation. This has important
consequences for investors. We demonstrate that although hedge
fund indices are highly attractive in mean-variance terms, this
is much less the case when skewness, kurtosis, and
autocorrelation are taken into account. Sharpe Ratios will
substantially overestimate the true risk-return performance of
(portfolios containing) hedge funds. Similarly, mean-variance
portfolio analysis will over-allocate to hedge funds and
overestimate the attainable benefits from including hedge funds
in an investment portfolio. We also find substantial differences
between indices that aim to cover the same type of strategy.
Investors' perceptions of hedge fund performance and value added
will therefore strongly depend on the indices used.
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Back to Scholarly Compositions
See also:
Long/Short Equity
Related News,
Long/Short Equity
Related Books,
or
Long/Short Equity Home Page.
| HEDGE FUND RISK AND OTHER
DISCLOSURES |
Hedge funds, including fund of funds (“Hedge
Funds”), are unregistered private investment partnerships, funds or
pools that may invest and trade in many different markets,
strategies and instruments (including securities, non-securities and
derivatives) and are NOT subject to the same regulatory requirements
as mutual funds, including mutual fund requirements to provide
certain periodic and standardized pricing and valuation information
to investors. There are substantial risks in investing in Hedge
Funds. Persons interested in investing in Hedge Funds should
carefully note the following:
- Hedge Funds represent speculative investments and involve a
high degree of risk. An investor could lose all or a substantial
portion of his/her investment. Investors must have the financial
ability, sophistication/experience and willingness to bear the
risks of an investment in a Hedge Fund.
- An investment in a Hedge Fund should be discretionary capital
set aside strictly for speculative purposes.
- An investment in a Hedge Fund is not suitable or desirable for
all investors. Only qualified eligible investors may invest in
Hedge Funds.
- Hedge Fund offering documents are not reviewed or approved by
federal or state regulators
- Hedge Funds may be leveraged (including highly leveraged) and
a Hedge Fund’s performance may be volatile
- An investment in a Hedge Fund may be illiquid and there may be
significant restrictions on transferring interests in a Hedge
Fund. There is no secondary market for an investor’s investment in
a Hedge Fund and none is expected to develop.
- A Hedge Fund may have little or no operating history or
performance and may use hypothetical or pro forma performance
which may not reflect actual trading done by the manager or
advisor and should be reviewed carefully. Investors should not
place undue reliance on hypothetical or pro forma performance.
- A Hedge Fund’s manager or advisor has total trading authority
over the Hedge Fund.
- A Hedge Fund may use a single advisor or employ a single
strategy, which could mean a lack of diversification and higher
risk.
- A Hedge Fund (for example, a fund of funds) and its managers
or advisors may rely on the trading expertise and experience of
third-party managers or advisors, the identity of which may not be
disclosed to investors
- A Hedge Fund may involve a complex tax structure, which should
be reviewed carefully.
- A Hedge Fund may involve structures or strategies that may
cause delays in important tax information being sent to investors.
- A Hedge Fund may provide no transparency regarding its
underlying investments (including sub-funds in a fund of funds
structure) to investors. If this is the case, there will be no way
for an investor to monitor the specific investments made by the
Hedge Fund or, in a fund of funds structure, to know whether the
sub-fund investments are consistent with the Hedge Fund’s
investment strategy or risk levels.
- A Hedge Fund may execute a substantial portion of trades on
foreign exchanges or over-the-counter markets, which could mean
higher risk.
- A Hedge Fund’s fees and expenses-which may be substantial
regardless of any positive return- will offset the Hedge Fund’s
trading profits. In a fund of funds or similar structure, fees are
generally charged at the fund as well as the sub-fund levels;
therefore fees charged investors will be higher that those charged
if the investor invested directly in the sub-fund(s).
- Hedge Funds are not required to provide periodic pricing or
valuation information to investors.
- Hedge Funds and their managers/advisors may be subject to
various conflicts of interest.
The above general
summary is not a complete list of the risks and other important
disclosures involved in investing in Hedge Funds and, with respect
to any particular Hedge Fund, is subject to the more complete and
specific disclosures contained in such Hedge Fund’s respective
offering documents. Before making any investment, an investor should
thoroughly review a Hedge Fund’s offering documents with the
investor’s financial, legal and tax advisor to determine whether an
investment in the Hedge Fund is suitable for the investor in light
of the investor’s investment objectives, financial circumstances and
tax situation.
All performance information is believed
to be net of applicable fees unless otherwise specifically noted. No
representation is made that any fund will or is likely to achieve
its objectives or that any investor will or is likely to achieve
results comparable to those shown or will make any profit at all or
will be able to avoid incurring substantial losses. Past performance
is not necessarily indicative, and is no guarantee, of future
results.
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an offer, or the solicitation of any offer, to buy or sell any
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Before making any investment, you should thoroughly review the
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The information on this Site is as of the date(s) indicated,
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Any indices and other financial benchmarks
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substantially fewer securities than are contained in an index.
Indices also may contain securities or types of securities that are
not comparable to those traded by a hedge fund. Therefore, a hedge
fund’s performance may differ substantially from the performance of
an index. Because of these differences, indexes should not be relied
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