- Out-of-Stock
Availability: 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
- Alpha or not Alpha: The Case of the Hedge Fund Industry
- What Happens “Before the Birth” and “After the Death” of a Hedge Fund?
- Hedge Fund Managers: Luck and Dynamic Assessment
- A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
- Detecting Early Warnings for Hedge Fund Contagion
- Edito
Availability: Out of stock
Availability: Out of stock
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:
![Edito [extrait BMI 129]](https://eska-publishing.com/10888-home_default/edito-extrait-bmi-129-.jpg)
