Econometrics is a mixed discipline that requires different degrees of introductory knowledge related to probability, probability distributions, statistics, mathematical economics, calculus, and matrix algebra. For example, random variables are described by probability distributions such as the...

Economics is a social science that studies the interaction of individuals and organisations engaged in the production, distribution, and consumption of goods and services. The goal is to prevent or correct problems such as unemployment, inflation public deficit and market failures. Economics is...

Performance persistence in the investment literature was a major area of investigation for both academics and practitioners for more than 2 decades. The results from various U.K open – end mutual funds studies are mixed and there is no enough statistical evidence of performance persistence in...

The existing literature of performance persistence of UK investment trusts is limited. We are going to use a sample of 210 UK investment trusts to test performance persistence in different time periods. Berk and Green (2004) suggests that performance persistence and managerial skill are limited...

This article examines UK investment trusts using a sample of 210 investment trusts from the period 1990 to 2006. The sample is free of survivorship bias. We find evidence of long-term managerial positive persistence. Performance is measured by Jensen's alpha based on regression models such as...

CTA, commodity trading advisers, or managed futures managers' trade in the commodity market. The hedge funds invest in commodity futures, currencies, bonds and shares. The portfolio is leveraged and the risk is quite high. Forward and futures contracts have similarities in terms that they...

In this article, we are investigating the effects of returns and expenses of hedge funds in terms of natural logarithmic monthly returns and expenses in terms of fees of long/short equity and arbitrage hedge funds. We have applied a Vector Error Correction model, (VEC) and a Granger causality to...

In this article, we have compared the census X12 and Tramo / Seats additive ARIMA(p,d,q) seasonal adjustment models applied to distressed securities and long/short equity hedge funds categories. We have applied two methodologies. The first one is developed by the US Bureau of the Census X12...

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...