We show that a simple and intuitive variable, the return of a bear spread portfolio orthogonalized with respect to the market (H-Bear factor), can serve as an important pillar for explaining the cross-section of hedge fund returns. Low H-Bear exposure funds (bear risk insurance sellers)...

The research object of this paper is to scrutinize the risk-adjusted returns of the five largest Croatian open-end equity mutual funds (ZB Aktiv, PBZ Equity, Raiffeisen Central Europe, Erste Adriatic Equity, and ZB Trend), and to compare each of them individually with a selection of the...

: 92 percent of hedge funds in the TASS database exhibit significantly skewed returns. The alphas the managers of these funds earn are difficult to estimate accurately with OLS, especially in times of crisis. An alternative, the Residual Augmented Least Squares (RALS) estimator, is robust with...

The aim of conducting this research is to find out the investment tendency in mutual funds of Pakistan, Conventional vs. Islamic. The study is also aimed at finding out the role of mutual fund investment in Pakistan. This study also finds out the factors effecting the investment in mutual funds...

Purpose: The purpose of this paper is to examine the changing risk structure of German open-end funds using semi variance based performance measures. Design/methodology: The analysis focuses on an appropriate benchmark and compares classical performance measures with LPM based measures....

Hedge funds are perhaps the hottest topic in finance today, but little material of substance to date has been written on the topic. Most books focus on how to set up a hedge fund and the basic strategies, while few to none focus on what matters most: generating and understanding investment...

The aggregate portfolio of Chinese actively managed stock mutual funds exhibits a large and significantly positive alpha. Results from bootstrap simulations indicate that most Chinese active stock mutual fund managers have skill. A substantial amount of their outperformance can be attributed to...

This paper extends recent discussion on the effectiveness of mutual fund performance measures. We utilize the well-known value premium to examine the ability of mutual fund performance measures to distinguish between the results of value funds and growth funds. Specifically, we examine the...