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The effectiveness of hedge fund investment strategies under various market conditions

Falkowski, Michał; Sierpińska-Sawicz, Agata; … - In: Contemporary economics 14 (2020) 2, pp. 127-143

The main purpose of the article was to analyze the effectiveness of the basic investment strategies used by hedge funds in the long term (years 1994-2015) and during the global financial crisis (years 2007-2009). Using information from commercial databases we attempted to verify the hypothesis...

Persistent link: https://www.econbiz.de/10012237267

Measuring Style Efficiency

Kizer, Jared - 2017

fund or strategy provides, whether the net expense ratio is reasonable for the style exposures provided and the efficiency … measures of style efficiency, one related to the expected style return of the strategy per bps of net expense ratio, which I … refer to as the Cost Efficiency Ratio (CER), and one related to the expected style return of the strategy relative to …

Persistent link: https://www.econbiz.de/10012954474

Measuring Luck in Mutual Fund Performance : Evidence from False Discovery Ratio Method

Tang, Ya; Liu, YU-Jane; Yang, Yi - 2011

This paper studies the real mutual fund performance accounting for the presences of lucky funds. We quantify the impact of luck with an innovative measure built on False Discovery Rate (FDR). These FDR measures compute the number and the proportion of fund with truly positive and negative...

Persistent link: https://www.econbiz.de/10014176700

Performance Evaluation of Ethical and Conventional Funds - A Study of Taurus Mutual Fund in India

Tripathi, Vanita; Bhandari, Varun - 2015

One of the significant developments in the investing community is the rise of socially responsible or ethical investments during last two decades. Because of the increasing size and importance of ethical mutual funds, this paper seeks to evaluate and compare the performance of ethical mutual...

Persistent link: https://www.econbiz.de/10014135982

One Year Later. Leveraged ETFs in Portfolio Construction and Portfolio Protection

Smirnov, Mikhail - 2021

One year after Coronovirus and three years later after initially suggesting them, we revisit the performance of balanced portfolios of leveraged ETFs that we initially suggested in the 2017 paper. Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure and can be...

Persistent link: https://www.econbiz.de/10013250519

Invest Like an Endowment

Knowles, Drew - 2016

This paper studies the investment returns and asset allocation policies of college and university endowments who share annual performance and asset allocation data with the National Association of College and University Business Officers (NACUBO) annual endowment study. In this paper, we review...

Persistent link: https://www.econbiz.de/10012997649

Manager Alpha

Gerritzen, Marc - 2016

Is alpha a property of the hedge fund or the individual hedge fund manager? By means of panel regressions on a novel data set, identifying the work histories of individual hedge fund managers, I show that there exist significant managerial fixed effects in abnormal returns. A change in a hedge...

Persistent link: https://www.econbiz.de/10013003206

Historical VaR, CVaR and ES to Liquidation : 'A New Tool to Measure Risk by Regulators and Fund Managers'

Crousillat, Cesar - 2016

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

Persistent link: https://www.econbiz.de/10013003836

Do Bond Mutual Funds Destabilize the Corporate Bond Market?

Hoseinzade, Saeid - 2016

Corporate bond mutual funds engage in liquidity transformation, raising concerns among academics and policymakers that correlated redemptions will destabilize the corporate bond market. However, estimating regressions that focus within issuer-quarter, I find little evidence that redemptions or...

Persistent link: https://www.econbiz.de/10013004088

Global Invested Capital Market

Attaluri, Sudhakar - 2016

The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

Persistent link: https://www.econbiz.de/10013006681