This article examines the application of the Sharpe style analysis versus a rolling methodology of monthly returns of long/short funds, market neutral funds, event – driven hedge funds and their related indices. The Sharpe ratio is calculated as the ratio of the excess return divided by the...

This article aims at testing empirically the major building blocks that affect the performance and risk adjusted measures 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...

This article is a cross comparison of the different performance ratios between different types of hedge funds. The funds under study are long/short funds, market-neutral funds and event – driven funds. We use a sample free of survivorship bias and measure performance using risk adjusted...

This article examines the application of the information ratio in a rolling style analysis methodology to test the effects on the lognormal returns of a 3 – month OMX Copenhagen 20 Cap index option contract. The information ratio is calculated as the ratio of the excess return divided by the...

This article aims at testing empirically the major building blocks that affect the performance of equity market neutral hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. A market neutral strategy combines both long and short...

This article aims at testing empirically the major building blocks that affect the performance of fixed income arbitrage hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. These funds engage principally in arbitrage strategies in the...

This article aims at testing empirically the major building blocks that affect the performance of distressed securities hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. Distressed securities are related to the corporate bonds of...

This article aims at testing empirically the performance persistence of equity market neutral hedge funds. A market neutral strategy combines both long and short positions. The net exposure is equal to zero. The purpose of using such strategy is to eliminate the market risk. Guirguis,(2005),...

This article aims at testing empirically the performance persistence of managed futures hedge funds. CTA, commodity trading advisers, or managed futures managers’ trade in the commodity market. Hedge funds use managed futures in terms of indices, treasuries, fixed –income securities and...

This article aims at testing empirically the performance persistence of long/short equity hedge funds. The hedge fund primarily goal is to invest in long and short position of the security to take advantage from increase or decrease of the prices. Thus, he/she buys a security that is expected to...