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Hedge Fund
Scholarly Compositions - All Compositions |
Table of
Contents for S
:
-
Searching the Efficient Frontier
in Data Envelopment Analysis
by Pekka Korhonen
Helsinki School of Economics and Business Administration
-
Sharpe Ratio as a Performance Measure in a
Multi-Period Setting
by Jaksa
Cvitanic, Ali Lazrak, & Tan Wang
January 28, 2004
-
Short-Sales in
Global Perspective
by Arturo
Bris, William N. Goetzmann, & Ning Zhu
Yale School of Management & University of California, Davis
December 9, 2003
-
Short-sellers, fundamental
analysis and stock returns
by Patricia
M. Dechow, Amy P. Hutton, Lisa Meulbroek, & Richard G. Sloan
June, 2000
-
Short Selling on the New York
Stock Exchange and the Effects of the Uptick Rule
by Gordon
J. Alexander & Mark A. Peterson
University of Minnesota & Southern Illinois University at
Carbondale
-
The Size of Hedge Adjustments of
Derivatives Dealers' US Dollar Interest Rate Options
by John Kambhu
June, 1997
-
Small is Efficient: A Frontier
Approach to Cost Inefficiencies in Indian State Road Transport
Undertakings
by Raghbendra Jha & Sanjay Kumar Singh
March, 2000
-
Smooth Returns and Hedge Fund
Risk Factors
by John Okunev and Derek White
August, 2002
-
Standard Errors of Mean,
Variance, and Standard Deviation Estimators
by Sangtae
Ahn & Jeffrey A. Fessler
EECS Department - The University of Michigan
July 24, 2003
-
Statistical Arbitrage and Market
Efficiency: Enhanced Theory, Robust Tests and Further
Applications
by Robert
Jarrow, Melvyn Teo, Yiu Kuen Tse, & Mitch Warachka
February, 2005
-
STATISTICAL ARBITRAGE MODELS OF
THE FTSE 100
by A.N.
Burgess
London Business School
-
Statistical Arbitrage and
Securities Prices
by Oleg
Bondarenko
University of Illinois at Chicago
-
Statistical Methods of Valuation
and Risk Assessment: Empirical Analysis of Equity Markets and
Hedge Fund Strategies
by Adam Czub
Swiss Federal Institute of Technology, Zurich
January, 2004
-
The Statistical Properties of
Hedge Fund Index Returns and their Implications for Investors
by Chris Brooks & Harry M. Kat
ISMA Centre
November 10, 2001
-
Stocks, Bond and Hedge Funds: Not a Free Lunch!
by Gaurev
Amin & Harry M. Kat
ISMA Reading Centre, University of Reading, UK
2002
-
Style Consistency and Survival
Probability in the Hedge Funds Industry
by Pierre-Antoine Bares, Rajna Gibson, & Sebastien Gyger
University of Zurich - Swiss Banking Institute (ISB)
February, 2001
-
Support for Resistance: Technical
Analysis and Intraday Exchange Rates
by Carol
Osler
-
SURVIVAL, LOOK-AHEAD BIAS AND THE
PERSISTENCE IN HEDGE FUND PERFORMANCE
by
Guillermo Baquero, Jenke ter Horst, & Marno Verbeek
December, 2002
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Searching the Efficient Frontier
in Data Envelopment Analysis
by Pekka Korhonen
Helsinki School of Economics and Business Administration
Abstract
In this paper, we deal with the problem of searching the
efficient frontier
in Data Envelopment Analysis. The approach developed to make a
free
search on the efficient frontier in multiple objective linear
programming can
also be used in DEA. The search is useful, when preference
information is
desired to incorporate into efficiency analysis...
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Sharpe Ratio as a Performance Measure in a
Multi-Period Setting
by Jaksa
Cvitanic, Ali Lazrak, & Tan Wang
January 28, 2004
Abstract
We study Sharpe ratio as a performance measure in a multi-period
setting. We show that the typical mean-variance efficiency
justification for using Sharpe ratio, valid in a static setting,
typically fails in a multi-period setting. To focus on the
contrast between static vs multi-period settings, we maintain
the mean-variance utility assumption of the static model...
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Short-Sales in
Global Perspective
by Arturo
Bris, William N. Goetzmann, & Ning Zhu
Yale School of Management & University of California, Davis
December 9, 2003
Abstract
Short-selling differs significantly around the world, and
practice depends not
only on regulatory structure but upon costs and tax
considerations. Our survey of world markets suggests that, while
as much as 93 percent of the world's equity market by
capitalization is shortable, there are particular regions of the
world where it is difficult to take a short position. These
include several countries in Southeast Asia and South America...
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Short-sellers, fundamental
analysis and stock returns
by Patricia
M. Dechow, Amy P. Hutton, Lisa Meulbroek, & Richard G. Sloan
June, 2000
Abstract
Firms with low ratios of fundamentals (such as earnings and book
values) to market values are known to have systematically lower
future stock returns. We document that short-sellers position
themselves in the stock of such firms, and then cover their
positions as the ratios mean-revert. We also show that
short-sellers refine their trading strategies to minimize
transactions costs and maximize their investment returns...
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Short Selling on the New York
Stock Exchange and the Effects of the Uptick Rule
by Gordon
J. Alexander & Mark A. Peterson
University of Minnesota & Southern Illinois University at
Carbondale
Abstract
We examine the impact of Rule 10a-1, the Uptick Rule, on
short-sell orders sent to the NYSE. The principal finding is
that the execution quality of short-sell orders is adversely
affected by the Uptick Rule, even when stocks are trading in
advancing markets. This is inconsistent with one of the three
stated objectives of the rule, i.e., to allow relatively
unrestricted short selling when a firm's stock is advancing so
that the rule does not affect price discovery during such
times...
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The Size of Hedge Adjustments of
Derivatives Dealers' US Dollar Interest Rate Options
by John Kambhu
June, 1997
Abstract
The potential for the dynamic hedging of written options to lead
to positive feedback in asset price dynamics has received
repeated attention in the literature on financial derivatives.
Using data on OTC interest rate options from a recent survey of
global derivatives markets, this paper addresses the question
whether that potential for positive feedback is likely to be
realised. With the possible exception of the medium term segment
of the term structure, transaction volume in available hedging
instruments is sufficiently large to absorb the demands
resulting from the dynamic hedging of US dollar interest rate
options even in response to large interest rate shocks...
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Small is Efficient: A Frontier
Approach to Cost Inefficiencies in Indian State Road Transport
Undertakings
by Raghbendra Jha & Sanjay Kumar Singh
March, 2000
Abstract
This paper attempts to measure cost-inefficiency of nine major
Indian State Road Transport Undertakings (STU) for the period
1983-84 to 1996-97 in a manner that allows this inefficiency to
vary both across time as well as across STUs. We found that
given the size distribution of the STUs and relevant measures of
their working conditions, the potential for reduction in cost
inefficiency is very high. Further, there is evidence of wide
disparity among STUs’ inefficiency levels, through out the
sample period...
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Smooth Returns and Hedge Fund
Risk Factors
by John Okunev and Derek White
August, 2002
Abstract
This paper analyzes the risk characteristics for various hedge
fund strategies
specializing in fixed income instruments. Because fixed income
hedge fund strategies have exceptionally high autocorrelations
in reported returns and this is taken as evidence of return
smoothing, we first develop a method to completely eliminate any
order of autocorrelation process across a wide array of time
series processes. Once this is complete, we determine the
underlying risk factors to the “true” hedge fund returns and
examine the incremental benefit attained from using nonlinear
payoffs relative to the more traditional linear factors...
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Standard Errors of Mean,
Variance, and Standard Deviation Estimators
by Sangtae
Ahn & Jeffrey A. Fessler
EECS Department - The University of Michigan
July 24, 2003
Abstract
We often estimate the mean, variance, or standard deviation from
a sample of elements and present the estimates with standard
errors or error bars (in plots) as well. A standard error of a
statistic (or estimator) is the (estimated) standard
deviation of the statistic. An error bar is, in a plot, a line
which is centered at the estimate with length that is double the
standard error...
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STATISTICAL ARBITRAGE MODELS OF
THE FTSE 100
by A.N.
Burgess
London Business School
Abstract
In this paper we describe a set of statistical arbitrage models
which exploit relative value relationships amongst the
constituents of the FTSE 100. Rather than estimating
cointegration vectors of high dimensionality, a stepwise
regression approach is used to identify the most appropriate
subspace for the
stochastic detrending of each individual equity price. A Monte
Carlo simulation is used to identify the empirical distribution
of the Variance Ratio profile of the regression residuals, under
the null hypothesis of random walk behaviour...
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Statistical Arbitrage and
Securities Prices
by Oleg
Bondarenko
University of Illinois at Chicago
Abstract
This article introduces the concept of a statistical arbitrage
opportunity (SAO). In a finite-horizon economy, a SAO is a
zero-cost trading strategy for which (i) the
expected payoff is positive, and (ii) the conditional expected
payoff in each final
state of the economy is nonnegative. Unlike a pure arbitrage
opportunity, a SAO can have negative payoffs provided that the
average payoff in each final state is non-negative...
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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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Stocks, Bond and Hedge Funds: Not a Free Lunch!
by Gaurev
Amin & Harry M. Kat
ISMA Reading Centre, University of Reading, UK
2002
Abstract
We study the diversification effects from introducing hedge
funds into a traditional portfolio of stocks and bonds. Our
results make it clear that in terms of skewness and kurtosis
equity and hedge funds do not combine very well. Although the
inclusion of hedge funds may significantly improve a portfolio's
mean-variance characteristics, it can be expected to lead to
significantly lower skewness as well as higher kurtosis...
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Style Consistency and Survival
Probability in the Hedge Funds Industry
by Pierre-Antoine Bares, Rajna Gibson, & Sebastien Gyger
University of Zurich - Swiss Banking Institute (ISB)
February, 2001
Abstract
This study focuses on two problems that affect the choice of
alternative investments, that is the style consistency of the
manager and his survival probability. We first present a new
quantitative approach to describe fund managers style
consistency. We show, through hard and fuzzy clustering, that
the investment style of a manager may depart over time from his
reported style...
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Support for Resistance: Technical
Analysis and Intraday Exchange Rates
by Carol
Osler
Abstract
Early in the morning of each business day, the major foreign
exchange trading firms send their customers lists of technical
trading signals for that day. Timely technical signals are also
supplied by major real-time information providers. These
signals, which are based primarily on prior price and
volumemovements, are widely used by active foreign exchange
market participants for speculation and for timing their
nonspeculative currency transactions...
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SURVIVAL, LOOK-AHEAD BIAS AND THE
PERSISTENCE IN HEDGE FUND PERFORMANCE
by
Guillermo Baquero, Jenke ter Horst, & Marno Verbeek
December, 2002
Abstract
Hedge funds databases are typically subject to high attrition
rates because of fund termination and self-selection. Even when
all funds are included up to their last available return, one
cannot prevent that ex post conditioning biases affect standard
estimates of performance persistence. In this paper we analyze
the persistence in the performance of U.S. hedge funds taking
into account look-ahead bias (multi-period sampling bias).
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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.
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