We show that earning non-hedge fund income is associated with lower future hedge fund performance. Specifically, generating non-hedge fund income reflects weakened alignment between the incentives of hedge fund management firm owners and the interests of investors. Using a hand-collected...

Recent academic and practitioner attention has focused on currency momentum. In this paper we replicate technical trading rules to assess their relationship with momentum. From an investment perspective, the average out-of-sample pre-transaction cost Sharpe ratio of technical trading rules is...

Predictability of currency returns, based on Carry, Momentum and Value, is widely accepted in the literature. This paper shows that out-of-sample replication of the predictors, following publication of preeminent academic studies of their risk, reveals returns have disappeared. From an...

We show that fund-specific return skewness is associated with managerial skill and future hedge fund performance. Specifically, skewness in fund returns reflects managerial skill in avoiding large drawdowns. Using a new measure of investment skill that accounts for this managerial ability, we...

This study tests a large sample of UK equity returns from 1965-2007 for predictability. Returns are tested using the Lo and MacKinlay (1988) variance ratio test and the Chow and Denning (1993) multiple variance ratio tests. Overall, the results show strong signs of predictability. There is a...

This paper replicates the core underlying merger arbitrage strategy using daily data from the United Kingdom to generate three simulated merger arbitrage portfolio return series, for the period 2001 through to 2004. Past empirical evidence indicates that the merger arbitrage strategy generates...