• Rupture de stock

Hedge Fund Managers: Luck and Dynamic Assessment [extrait BMI 129]

Author :
47,39 €
Quantité
Add to wishlist
Rupture de stock

Version numérique PDF

This paper outlines a new technique that considers the dynamics of hedge funds and controls for the proportion of true alphas. This methodology enabled us to analyze alphas and betas of hedge fund managers differently than the approaches commonly applied. Through this work, we proved that alphas generated by hedge fund managers? dynamic strategies are not consistent within strategy and across different market conditions. Moreover, our work analyzed market exposures during two periods of economic crisis, illustrating heterogeneity within each strategy. We revealed that, regardless of the strategy, exposures are concentrated on the credit spread and bond risk factors.Keywords: Hedge Fund Performance; time-varying coefficient; Nonparametric estimation; Kernel methods; Multiple structural breaks; Multiple hypothesis testing; False discovery rate.JEL Classification: C12; C13; C14; C22; G11; G23.

Auteurs :Criton Gilles
Extrait de la revue BMI 129

BMI129-1116919
Nouveau

16 autres produits dans la même catégorie :

Bankers, Markets &...
  • Rupture de 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
Bankers, Markets &...
  • Rupture de 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
Bankers, Markets &...
  • Rupture de stock
Availability: Out of stock

Sommaire

Articles

  • Testing the Profitability of Contrarian Trading Strategies Based on the Overreaction Hypothesis
  • Evaluating UCITS Compliant Hedge Fund Performance
  • Do Cooperative Banks Have Greater Market Power?
  • In which Media are Analysts’ Recommendations most Followed?
Bankers, Markets &...
  • Rupture de 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
This website uses cookies to ensure you get the best experience on our website