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The effect of investment constraints on hedge fund investor returns
Joenväärä, Juha; Kosowski, Robert L.; Tolonen, Pekka - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 4, pp. 1539-1571
Persistent link: https://www.econbiz.de/10012139933
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Style and Skill : Hedge Funds, Mutual Funds, and Momentum
Grinblatt, Mark - 2020
, while mutual fund strategies are largely trend following. The only institutional performers---the 2/3 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 …
Persistent link: https://www.econbiz.de/10012855800
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Style and Skill : Hedge Funds, Mutual Funds, and Momentum
Grinblatt, Mark - 2020
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 …
Persistent link: https://www.econbiz.de/10012844428
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The Effect of Investment Constraints on Hedge Fund Investor Returns
Joenväärä, Juha - 2018
This paper examines the effect of investor-level real-world investment constraints, including several which had not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly...
Persistent link: https://www.econbiz.de/10012938196
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Style and skill : hedge funds, mutual funds, and momentum
Grinblatt, Mark; Jostova, Gergana; Petrasek, Lubomir; … - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5505-5531
Persistent link: https://www.econbiz.de/10012391386
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Hedge fund manager skill and style-shifting
Jiang, George J.; Liang, Bing; Zhang, Huacheng - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2284-2307
Persistent link: https://www.econbiz.de/10013268141
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Should hedge funds deviate from the benchmark?
Panopoulou, Ekaterini; Voukelatos, Nikolaos - In: Financial management : FM 51 (2022) 3, pp. 767-795
Persistent link: https://www.econbiz.de/10013468460
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Puzzle solved? : a comprehensive analysis of hedge fund-like mutual funds according to the value-added paradigm
Light, Nathaniel; Stetsyuk, Ivan - In: The journal of asset management : a major new, … 23 (2022) 3, pp. 256-275
Persistent link: https://www.econbiz.de/10013199114
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Hedge Fund Activism Skill
Goel, Arjun; Rettl, Daniel A. - 2022
Hedge fund activism generates persistent performance, but heterogeneity in performance suggests that some hedge fund activists are more skilled than others. We use a Markov Chain Monte Carlo Bayesian estimation algorithm to isolate a time-invariant activist-specific skill component from...
Persistent link: https://www.econbiz.de/10014244992
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Have hedge funds solved the idiosyncratic volatility puzzle?
Bali, Turan G.; Weigert, Florian - 2018
While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...
Persistent link: https://www.econbiz.de/10011993511