Purpose The purpose of this paper is to test the new Fama and French (2015) five-factor model relying on a thorough sample of hedge fund strategies drawn from the Barclay’s Global hedge fund database. Design/methodology/approach The authors use a stepwise regression to identify the factors of...

Data envelopment analysis (DEA) is applied, and basic and cross-efficiency models are used to evaluate the performance of CTA classifications. With the ever-increasing number of CTAs, there is an urgent requirement to provide money managers, pension funds, and high-net-worth individuals with a...