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R-Squared Related Scholarly Compositions
See also:
R-Squared Related
News,
R-Squared Related Books,
or
R-Squared Home Page.
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Changes in the Factor Exposures of Hedge Funds
by R.A.
Brealey & E. Kaplanis
London Business School
January, 2001
Abstract
Recent years have seen considerable interest in the activities
of hedge funds, commodity trading advisors (CTAs), and the
proprietary trading desks of commercial and investment banks.
Part of this interest represents a need to understand the
investment policies and performance of an important sector of
the asset management industry, but the activities of hedge funds
have also raised issues of public policy. For example, the
decision by George Soros’s Quantum Fund to sell sterling short
in the fall of 1992 is widely believed to have brought
significant pressure on the currency and to have hastened its
departure from the ERM...
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Hedge Funds and the Asian Currency Crisis of 1997
by Stephen
J. Brown, William N. Goetzmann, & James Park
NYU Stern School of Business, Yale School of Management, & Long
Island University
January 13, 1998
Abstract
We test the hypothesis that hedge funds were responsible for the
crash in the Asian currencies in late 1997. To do so, we develop
estimates of the changing positions of the largest ten currency
funds in one currency, the Malaysian ringgit and to a basket of
Asian currencies. Our methodology is adapted from the Sharpe’s
(1992) style analysis approach that decomposes fund returns...
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On the Performance of Hedge Funds
by B. Liang
Weatherhead School of Management
Case Western Reserve University
May, 1998
Abstract
This paper investigates hedge fund performance and risk. The
empirical evidence indicates that hedge funds differ
substantially from traditional investment vehicles such as
mutual funds. The funds with watermarks significantly outperform
the funds without watermarks. The average hedge fund returns are
related positively to incentive fees, the size of the fund, and
the lockup period. Hedge funds follow dynamic trading strategies
and have low systematic risk. There are low correlations among
different strategies. Compared with mutual funds, hedge funds
offer better risk-return trade-offs: they have higher Sharpe
ratios, lower mrket risks, and higher abnormal returns. In the
period of January 1994 to December 1996, most hedge funds
provide positive abnormal returns. Overall, hedge fund
strategies dominate mutual fund strategies, hence hedge funds
provide a more efficient investment opportunity set for
investors.
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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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Pseudo R-squared measures for
Poisson regression models with over- or underdispersion
by Harald
Heinzl, & Martina Mittlbock
University of Vienna
March, 2003
Abstract
The Poisson regression model is frequently used to analyze count
data. Pseudo R-squared measures for Poisson regression models
have recently been proposed and bias adjustments recommended in
the presence of small samples and/or a large number of
covariates. In practice, however, data are often over- or
sometimes even underdispersed as compared to the standard
Poisson model...
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An R-squared measure of goodness
of fit for some common nonlinear regression models
by A. Colin
Cameron & Frank A.G. Windmeijer
University of California - Davis & University College London
March 31, 1995
Abstract
For regression models other than the linear model, R-squared
type goodness-of-fit summary statistics have been constructed
for particular models using a variety of methods. We propose an
R-squared measure of goodness of fit for the class of
exponential family regression models, which includes logit,
probit, Poisson, geometric, gamma and exponential. This
R-squared is defined as the proportionate reduction in
uncertainty, measured by Kullback-Leibler divergence, due to the
inclusion of regressors...
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R-squared and prediction in
regression with ordered quantitative response
by Diane
Dancer & Andrew Tremayne
University of Sydney, Australia & University of York, UK
July, 2005
Abstract
This paper is concerned with the use of regression methods to
predict values of a response variable when that variable is
naturally ordered. An application to the prediction of student
examination performance is provided and it is argued that,
although individual scores are unlikely to be well predicted at
the extremes of the range using the conditional mean,
conditional on covariates, it is possible to usefully predict
where an individual is likely to feature in the rank order of
performance...
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Use of R-squared in Accounting
Research
by Stephen
Brown, Kin Lo, & Thomas Lys
1999
Abstract
This study examines the properties of the R-squared metric
frequently used in accounting research as a measure of value
relevance. Analytical results show that the metric is unreliable
in the presence of scale effects. Specifically, we show that the
metric is upwardly biased for accounting studies, and the bias
is increasing in the scale factor's coefficient of variation...
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Back to Scholarly Compositions
See also:
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News,
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or
R-Squared 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.
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.
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