This article aims at testing empirically the major building blocks that affect the performance of funds of funds hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. Funds of hedge funds invest solely in other hedge funds. The hedge...

This article aims at testing empirically the performance persistence of global macro hedge funds. Global macro hedge fund manager focus to generate positive returns based on currency futures and options. He focused on fixed – income securities derivatives products or stock indices futures and...

This article aims at testing empirically the performance persistence of emerging market hedge funds. Emerging market hedge funds invests primarily in countries that have a closed market economy and are in the process of developing and expanding its infrastructure such as Brazil, India, Latin...

In this article, we apply a logit and probit regression to test high water marks, incentive fees and lock-up periods of emerging hedge funds category. Emerging markets hedge funds invests primarily in countries that have a closed market economy and are in the process of developing and expanding...

This article provides an explanation of the fluctuations and persistence of excess discount return in the UK and the US. On average, Guirguis six - factor model can explain 67% of the variation in the excess discount return in the UK market by taking into consideration the market effect, size,...

This article examines the performance persistence of 210 UK investment trusts form the period January 1990 to January 2006. We use a sample free of survivorship bias and measure performance using risk adjusted measures. High values of the Treynor, Sharpe and information ratio are an indication...

We check performance persistence of UK investment trusts in terms of both market price returns and net asset value average returns in each category. In addition, we use regression models to test market timing ability. We use a sample of 210 UK investment trusts. Our results are not including...

In this article, we extend the three-factor of Fama and French’s (1993) model in order to explain the existence and persistence of the excess discount return. We added two more factors to these four risk measures namely market, size, book-to-market, and momentum. The first one is based on the...