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Thousands of Alpha Tests
Giglio, Stefano - 2020
Data snooping is a major concern in empirical asset pricing. We develop a new framework to rigorously perform multiple hypothesis testing in linear asset pricing models, while limiting the occurrence of false positive results typically associated with data snooping. By exploiting a variety of...
Persistent link: https://www.econbiz.de/10012851219
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Thousands of alpha tests
Giglio, Stefano; Liao, Yuan; Xiu, Dacheng - In: The review of financial studies 34 (2021) 7, pp. 3456-3496
Persistent link: https://www.econbiz.de/10012546389
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Man vs. Machine : Comparing Discretionary and Systematic Hedge Fund Performance
Harvey, Campbell R. - 2019
We analyse and contrast the performance of discretionary and systematic hedge funds. Systematic funds use strategies that are rules-based, with little or no daily intervention by humans. In our experience, some large allocators shy away from systematic hedge funds altogether. A possible...
Persistent link: https://www.econbiz.de/10012902574
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Investigating hedge fund performance
Huber, Otto - 2011
-adjustierten Performance von Hedgefonds befassen. Eine mögliche Konsequenz des veränderten Umfeldes ist eine Reduktion der risikoadjustierten … Performance (Alpha) von Hedgefonds. Entgegen dieser Hypothese zeigen die Resultate des ersten Aufsatzes ein positives historisches … empirische Bestätigung für Kapazitätsbeschränkungen. Der zweite Aufsatz befasst sich mit der Performancepersistenz von Hedgefonds …
Persistent link: https://www.econbiz.de/10008989038
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Quantitative Ansätze zur Evaluation von Hedgefonds-Investments
Mandl, Jochen - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003744975
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Testing asset pricing models with hedge fund data and hedge fund performance
Ballis-Papanastasiou, Panagiotis - 2016 - [1. Aufl.]
Persistent link: https://www.econbiz.de/10011449844
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A cross-sectional machine learning approach for hedge fund return prediction and selection
Wu, Wenbo; Chen, Jiaqi; Yang, Zhibin; Tindall, Michael L. - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4577-4601
Persistent link: https://www.econbiz.de/10012624639
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Evaluating hedge fund performance
Tran, Vinh Quang - 2005
Persistent link: https://www.econbiz.de/10002573029
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Tracking hedge fund performance : a balanced sampling strategy
Tafin Djoko, Donatien - In: Journal of statistical and econometric methods 2 (2013) 1, pp. 81-114
This paper discusses the application of statistical, survey sampling technique to hedge fund tracking problems. I describe a strategy that allows an investor or a fund of hedge funds manager, to construct a small tracking portfolio that replicates the time series changes of the total relative...
Persistent link: https://www.econbiz.de/10009769904