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Hedge Funds: Performance, Risk, and Capital Formation
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In this paper, the authors used a comprehensive data set of funds-of-funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004.Abstract:
We use a comprehensive data set of funds-of-funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund-of-funds delivers alpha only in the period between October 1998 and March 2000, a subset of funds-of-funds consistently delivers alpha. The alpha-producing funds are not as likely to liquidate as those that do not deliver alpha, and experience far greater and steadier capital inflows than their less fortunate counterparts. These capital inflows attenuate the ability of the alpha producers to continue to deliver alpha in the future.read more
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High-Water Marks and Hedge Fund Management Contracts
TL;DR: In this paper, the authors show that hedge fund performance fees are valuable to money managers, and conversely represent a claim on a significant proportion of investor wealth, and provide a closed-form solution to the high-water mark.
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Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis
TL;DR: This paper used a robust bootstrap procedure to find that top hedge fund performance cannot be explained by luck, and that hedge fund's performance persists at annual horizons, and showed that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superior performance predictability.
ReportDOI
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
TL;DR: This paper proposed several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests.
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Asset Management: A Systematic Approach to Factor Investing
TL;DR: In this paper, the authors discuss the role of the asset owner in the long-term performance of a portfolio, and propose a strategy for the long run of the portfolio management process.
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An Institutional Theory of Momentum and Reversal
Dimitri Vayanos,Paul Woolley +1 more
TL;DR: In this paper, a rational theory of momentum and reversal based on delegated portfolio management is proposed, where a competitive investor can invest through an index fund or an active fund run by a manager with unknown ability.
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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
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Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
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