We estimate tracking errors from 26 exchange-traded funds (ETFs) utilizing three different methods and test their relative performance using Jensen's model. We find that tracking errors are significantly different from zero and display persistence. Based on Jensen's alpha, risk adjusted returns...

We use proprietary data to examine factors that lead hedge fund managers to offer hurdle rates and investigate relative hedge fund performance based on risk adjusted returns. Using data from 3,571 hedge funds over a 15 year period, we find that funds that do not offer a hurdle rate outperform...

This paper models exposure of hedge fund to risk factors and examines time-varying performance of hedge funds. From existing models such as ABS-factor model, SAC-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we...