- Out-of-Stock
A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation [extrait BMI 129]
- Write a review
€50.00
Tax included
Version numérique PDF
We evaluate the time varying behavior of the extra performance of single hedge funds using a Markov Switching model. We calculate the hedge fund performance adjusted by the Fung and Hsieh 7 factors and use this measure as the dependent variable of a Markov Switching model. With this methodology we obtain individual time varying alphas that are then aggregated to compute time varying alphas for the whole industry and single hedge funds strategies. Our analysis shows that profitability changes dramatically trough time, across categories and is related to the level of competition of the hedge fund market.Keywords: Extra performances; Hedge funds; Markov switching models; Financial crises.JEL codes: C58; G01; G11.Auteurs :Billio Monica
Extrait de la revue BMI 129
BMI129-1116920
New
16 other products in the same category:
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Editor’s letter
- HFT and Market Quality
- On the Financial Performance of Socially Responsible Investments
- Pension Reform in The Netherlands: Attractive Options for other Countries?
- French Pensions Framework in an International Perspective
- Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice
- Asset Class Liquidity Risk
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- What Maximum Fees Should Investors Pay to Active Fund Managers?
- How does the Market Price of the Corporate Sponsor React to Socially Responsible Fund Introductions?
- Pricing, Hedging and Assessing Risk in a General Lévy Context
- The Performance Implications of Business Group Affi liation for Small Businesses
- Introducing to Risk Parity and Budgeting
Availability: Out of stock
Sommaire
Articles
- Is Rating Associated with Better Retail Funds’ Performance in Changing Market Conditions?
- Estimation Risk versus Optimality Risk:
- The Trading Performance of Individual Investors
- Cash Holdings, Working Capital and Firm Value:
Availability: Out of stock
