FREE ACCESS!
Subscribe for
Free Access
to over 4000+
pages of Profiles and Top
20 Rankings.
No obligation ever.
|
|
|
|
|
| |
|
Hedge Fund
Scholarly Compositions - All Compositions |
Table of
Contents for N
:
-
A N-Assets Efficient Frontier
Guideline for Investments Courses
by Eric Girard & Eurico Ferreira
Indiana State University
December 13, 2003
-
A New Strategy for
Dynamically Hedging Mortgage-Backed Securities
by Jacob
Boudoukh, Matthew Richardson, Richard Stanton, & Robert F.
Whitelaw
May, 1995
-
Neutrality of Market Neutral Funds
by Daniel Capocci
June, 2005
-
New insights into smile,
mispricing and value at risk: the hyperbolic model
by Ernst Eberlein, Ulrich Keller, & Karsten Prause
Institut fur Mathematische Stochastik & Universitat Freiburg
April, 1997
-
New Paradigm or Same Old Hype in
Equity Investing?
by Louis K.C. Chan, Jason Karceski, and Josef Lakonishok
July/August, 2000
-
New test statistics for market
timing with applications to emerging markets hedge funds
by Alessio
Sancetta & Stephen E. Satchell
October, 2005
-
NONLINEAR TRADING MODELS THROUGH SHARPE RATIO
MAXIMIZATION
by Mark
Choey & Andrea S. Weigend
NYU Stern School of Business & Advanced Technology Group
1997
-
A Nonparametric Assessment of the
Diversification Benefits of Hedge Funds
by Muzaffer Emre Balta
Gothenburg University
January 8, 2003
-
Nonparametric Estimation of the Time-varying
Sharpe Ratio in Dynamic Asset Pricing Models
by Peter
Woehrmann, Willi Semmler, & Martin Lettau
Institute for Empirical Research in Economics
January, 2005
-
Nonparametric and Semi-parametric
Estimation of Efficient Frontier
by Shengwu Du
Pennsylvania State University
December, 2004
-
A Nonparametric Test of Market
Timing
by Wei
Jiang
August, 2001
|
| |
A N-Assets Efficient Frontier
Guideline for Investments Courses
by Eric Girard & Eurico Ferreira
Indiana State University
December 13, 2003
Abstract
This article provides directions that allow instructors and
students to build an efficient frontier for investments courses.
Our step-by-step approach intends to substantially reduce or
eliminate the problems in combining the steps of downloading
from the internet and use the data to build the efficient
frontier and the capital market line, when short sales are
present or not. In a less restricted theoretical framework, the
approach can be applied to any subset of assets...
View entire composition
▲
top
|
| |
A New Strategy for
Dynamically Hedging Mortgage-Backed Securities
by Jacob
Boudoukh, Matthew Richardson, Richard Stanton, & Robert F.
Whitelaw
May, 1995
Abstract
This paper develops a new strategy for dynamically hedging
mortgage-backed securities (MBSs). The approach involves
estimating the joint distribution of returns on MBSs and T-note
futures, conditional on current economic conditions. We show
that our approach has a simple intuitive interpretation of
forming a hedge ratio by differentially weighting past pairs of
MBS and T-note futures returns...
View entire composition
▲
top
|
| |
Neutrality of Market Neutral Funds
by Daniel Capocci
June, 2005
Abstract
Using an original database of 634 market neutral hedge funds,
this study formally
analyses the market neutrality of market neutral funds which are
particular in the hedge fund universe since the only objective
of these funds is to provide positive returns completely
independent of the market conditions. We start by analysing this
neutrality using various market neutral indices before focusing
on individual fund returns. Finally, an analysis based on
ex-post beta helps us explaining and confirming our previous
results...
View entire composition
▲
top
|
| |
New insights into smile,
mispricing and value at risk: the hyperbolic model
by Ernst Eberlein, Ulrich Keller, & Karsten Prause
Institut fur Mathematische Stochastik & Universitat Freiburg
April, 1997
Abstract
We investigate a new basic model for asset pricing, the
hyperbolic model, which allows an almost perfect statistical t
of stock return data. After a brief introduction into the theory
supported by an appendix we use also secondary market data to
compare the hyperbolic model to the classical Black-Scholes
model. We study implicit volatilities, the smile eect and the
pricing performance...
View entire composition
▲
top
|
| |
New Paradigm or Same Old Hype in
Equity Investing?
by Louis K.C. Chan, Jason Karceski, and Josef Lakonishok
July/August, 2000
Abstract
The recent relative stock-price performance of six U.S. equity
asset classes
(classified by size and by value-versus-growth style) differs
markedly from
the historical pattern. Large-capitalization growth stocks have
apparently
taken the place of small-capitalization and value stocks in
investors’ hearts.
Have the size and value premiums of the past vanished for
good?...
View entire composition
▲
top
|
| |
|
|
| |
NONLINEAR TRADING MODELS THROUGH SHARPE RATIO
MAXIMIZATION
by Mark
Choey & Andrea S. Weigend
NYU Stern School of Business & Advanced Technology Group
1997
Abstract
While many trading strategies are based on price prediction,
traders in nancial
markets are typically interested in risk-adjusted performance
such as the Sharpe
Ratio, rather than price predictions themselves. This paper
introduces an ap-
proach which generates a nonlinear strategy that explicitly
maximizes the Sharpe
Ratio. It is expressed as a neural network model whose output is
the position size
between a risky and a risk-free asset...
View entire composition
▲
top
|
| |
A Nonparametric Assessment of the
Diversification Benefits of Hedge Funds
by Muzaffer Emre Balta
Gothenburg University
January 8, 2003
Abstract
In this article, the return characteristics of hedge fund
indices over the period 1990 through 2001 are analyzed. Most of
the commonly used performance measures of hedge funds, such as
the Sharpe ratio and the Jensen alpha, assume an a priori
frequency distribution of returns, which, under certain
conditions, may result in erroneous inferences. Meanwhile, a
non-parametric method allows the data to determine the shape of
the functional form rather then imposing the parametric
straightjacket of rigid distributional assumptions...
View entire composition
▲
top
|
| |
Nonparametric Estimation of the Time-varying
Sharpe Ratio in Dynamic Asset Pricing Models
by Peter
Woehrmann, Willi Semmler, & Martin Lettau
Institute for Empirical Research in Economics
January, 2005
Abstract
Economic research of the last decade linking macroeconomic
fundamentals to asset prices has revealed evidence that standard
intertemporal asset pricing theory is not successful in
explaining (unconditional) first moments of asset market
characteristics such as the risk-free interest rate, equity
premium and the Sharpe-ratio. Subsequent empirical research has
pursued the question whether those characteristics of asset
markets are time varying and, in particular, varying over the
business cycle. Recently intertemporal asset pricing models have
been employed to replicate those time varying characteristics...
View entire composition
▲
top
|
| |
Nonparametric and Semi-parametric
Estimation of Efficient Frontier
by Shengwu Du
Pennsylvania State University
December, 2004
Abstract
This paper has presented a nonparametric approach to estimate
the deterministic frontier model with unknown function form.
Single index modeling and partially linear modeling techniques
have been modified for estimation of a semi-parametric
deterministic frontier model. Those approaches are free from
functional form specification and error term distribution
assumption...
View entire composition
▲
top
|
| |
A Nonparametric Test of Market
Timing
by Wei
Jiang
August, 2001
Abstract
In this paper we propose a nonparametric test for money
managers’ market timing ability and apply the analysis to a
large sample of mutual funds that have different benchmark
indices. The test (i) only requires the ex post returns of the
funds and the benchmark portfolios; (ii) isolates timing from
selectivity; (iii) separates the quality of timing information a
money manager possesses from the aggressiveness with which she
reacts to such information; and (iv) is robust to different
information and incentive structures as well as underlying
distributions. Theta—the parameter for timing ability—is on
average below the neutral level (indexation) among actively
managed domestic equity funds, and is very difficult to predict
from observable fund characteristics...
View entire composition
▲
top
|
| |
A
B
C D
E F
G
H I
J
K
L
M N
O P
Q
R S
T U
V
W
X Y Z
| 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.
The information on the Site is intended for
informational, educational and research purposes only. Nothing on
this Site is intended to be, nor should it be construed or used as,
financial, legal, tax or investment advice, be an opinion of the
appropriateness or suitability of an investment, or intended to be
an offer, or the solicitation of any offer, to buy or sell any
security or an endorsement or inducement to invest with any fund or
fund manager. No such offer or solicitation may be made prior to the
delivery of appropriate offering documents to qualified investors.
Before making any investment, you should thoroughly review the
particular fund’s confidential offering documents with your
financial, legal and tax advisor and conduct such due diligence as
you (and they) deem appropriate. We do not provide investment advice
and no information or material on the Site is to be relied upon for
the purpose of making investment or other decisions. Accordingly, we
assume no responsibility or liability for a ny investment decisions
or advice, treatment, or services rendered by any investor or any
person or entity mentioned, featured on or linked to the Site.
The information on this Site is as of the date(s) indicated,
is not a complete description of any fund, and is subject to the
more complete disclosures and terms and conditions contained in a
particular fund's offering documents, which may be obtained directly
from the fund. Certain of the information, including investment
returns, valuations, fund targets and strategies, has been supplied
by the funds or their agents, and other third parties, and although
believed to be reliable, has not been independently verified and its
completeness and accuracy cannot be guaranteed. No warranty, express
or implied, representation or guarantee is made as to the accuracy,
validity, timeliness, completeness or suitability of this
information.
Any indices and other financial benchmarks
shown are provided for illustrative purposes only, are unmanaged,
reflect reinvestment of income and dividends and do not reflect the
impact of advisory fees. Investors cannot invest directly in an
index. Comparisons to indexes have limitations because indexes have
volatility and other material characteristics that may differ from a
particular hedge fund. For example, a hedge fund may typically hold
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
upon as an accurate measure of comparison.
|
|
