The interaction of arbitrageur's and noise trading from a Behavioural orthodox approach is a new area of research. Noise traders are misled and they are making decisions not on data and forecasts, but based on their personal opinion. Their wrong estimate creates discount persistence throughout...

Using a value at risk methodology, VaR, we demonstrate the extent to which the mean-variance approach underestimates the tail risk of the probability distribution. We compare the long and short - run performance returns after fees deduction with the expected losses that are recorded at...

This article aims at testing empirically the major building blocks that affect the performance of different categories of hedge funds such as incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. We did not find performance persistence in the...

Commodity trading advisers, (CTA), or managed futures managers' trade in the commodity market. The hedge funds invest in commodity futures, currencies, bonds and shares. Hedge funds use managed futures in terms of indices, treasuries, fixed–income securities and commodities such as gold,...

In this paper, we are using Jensen's alpha, Sharpe ratio and multi-factor models to test the performance of hedge funds for the period 1998 to 2003. Hedge fund returns exhibit a high degree of non-linearity and kurtosis. Our results suggest that for the examined period hedge funds provide...

We are investigating whether hedge fund indexing provide sufficient asset diversification for the private investors and decreased volatility. It is another way to gain access in the hedge fund industry. The traditional way was to invest in different hedge fund categories. Investing directly on...

We are investigating Sharpe, (1992), return based style analysis of equity market neutral hedge funds. The style weights of taking a short position in different assets can be positive or negative. A market neutral strategy combines both long and short positions. The net exposure is equal to...

Funds of hedge funds invest solely in other hedge funds. The hedge fund manager selects funds based on a specific investment strategy or a combination of different investment strategies to achieve a better return. The benefit of combining different investment strategies is to achieve...

In this paper, we are evaluating performance persistence using Jensen's alpha risk adjusted measures and Sharpe ratio. Our results suggest that investment trusts on average underperform the benchmark indices by 45 basis points per year. Many studies find evidence of performance persistence...

Hedge funds have increased their assets over the past decades. In this paper, we consider the added value of hedge funds in a portfolio dominated by investment trusts. The sample is provided from Data Feeder dataset. It is very comprehensive and includes event driven hedge funds for the period...