Performance Analysis of Global Hedge Funds

Subject Areas : Financial Mathematics

Seyyed Hassan Hosseini ¹ , Ali Najafi Mogaddam ² , Yadollah Norifard ³

1 - Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
2 - Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
3 - Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran

Received: 2020-07-29 Accepted : 2020-11-01 Published : 2022-07-01

Keywords:

References:

[1] Agarwal V, Fung W, Loon YC, Naik N, Risk and return in convertible arbitrage: evidence from the convertible bond market. J Empir Financ, 2011, 18(2), P. 175-194, Doi: 10.1016/j.jempfin.2010.11.008

[2] Agarwal V, Naik N, Multi-period performance persistence analysis of hedge funds. J Financ Quant Anal, 2000, 35(3), P. 327-342, Doi: 10.2307/2676207

[3] Agarwal V, Naik NY, Risks and portfolio decisions involving Hegde funds. Rev Financ Stud, 2004, 17(1), P. 63-98, Doi: 10.1093/rfs/hhg044

[4] Fung W, Hsieh DA, A primer on hedge funds. J Empir Financ, 1999, 6(3), P. 309-331, Doi: 10.1016/s0927-5398(99)00006-7

[5] Fung W, Hsieh DA, The risk of hedge fund strategies: theory and evidence from trend followers, Rev Financ Stud, 2001, 14(2), P. 313-341, Doi: 10.1093/rfs/14.2.313

[6] Fung W, Hsieh DA, The risks in fixed-income hedge fund styles, J Fixed Income, 2002, 12(2), P. 6-27, Doi: 10.3905/jfi.2002.319321

[7] Fung W, Hsieh DA, Hedge fund benchmarks: a risk based approach. Financal J, 2004, 60 (5), P. 65-80, Doi: 10.2469/faj.v60.n5.2657

[8] Fung W, Hsieh DA, Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds., Review of Financial Studies, 1997, 10(2), P.  275-302, Doi: 10.1093/rfs/10.2.275

[9] Fung W, Hsieh DA, Naik NY, Ramadorai T, Hedge funds: performance, risk and capital formation, J Financ, 2008, 63(4), P. 1777–1803, Doi: 10.1111/j.1540-6261.2008.01374.x

[10] G´ehin, W., A survey on the literature on hedge fund performance, Edhec Risk and Asset Management Research Center, 2004, Doi: 10.2139/ssrn.626441

 

[11] Brown, S., Goetzmann, W. and Ibbotson, R., Offshore Hedge Funds: Survival and Performance, 1989-95, Journal of Business, 1999, 72, P. 91-117, Doi: 10.1086/209603

[12] Brown, S., Goetzmann, W., Ibbotson, R. and Ross, S., Rejoinder: The J-Shape of Performance Persistence Given Survivorship Bias, Journal of Economics and Statistics volume, 1997, 79(2), P. 167-170. Doi: 10.1162/003465397556683

            

[13] Hasanhodzic J, Lo AW, Can hedge fund returns be replicated? The linear case, J Invest Manag, 2007, 5(2), P. 5–45, Doi: 10.2139/ssrn.924565

[14] Brown, S., Goetzmann, W., Ibbotson, R., Ross, S., Survivor bias in performance studies, American Economic Review, 1992, 5, P. 553-580, Doi: 10.1093/rfs/5.4.553

 

[15] Capocci, D., Hubner, G., Analysis of Hedge Fund Performance, Journal of Empirical Finance, 2004, 11, P. 55-89. Doi: 10.1016/j.jempfin.2002.12.002

[16] Fama, E. F., French, K. R., Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 1993, 33(1), P. 3–56. Doi: 10.1016/0304-405x(93)90023-5

[17] Carhart, M., On persistence in mutual fund performance, Journal of Finance, 1997, 52(1), P. 57–82. Doi: 10.1111/j.1540-6261.1997.tb03808.x

 

 

[18] Carhart, M., Carpenter, J. N., Lynch, A. W. and Musto, D. K., Mutual fund survivorship, The Review of Financial Studies, 2002, 15(5), P. 1439–63. Doi: 10.1093/rfs/15.5.1439

 

 

[19] Harri, A. and Brorsen, B. W., Performance persistence and the source of returns for hedge funds, Applied Financial Economics, 2004, 14(2), P. 131–41. Doi: 10.1080/0960310042000176407

[20] Edwards, F. and Caglayan, M., Hedge fund performance and manager skill, Journal of Futures Markets, 2001, 21(11), P. 1003–28. Doi: 10.1002/fut.2102

[21] Malkiel, B. G., Saha, A., Hedge funds: risk and return, Financial Analysts Journal, 2005, 61(6), P. 80–88. Doi: 10.2469/faj.v61.n6.2775

 

[22] Bar`es, P.-A., Gibson, R. and Gyger, S., Performance in the Hedge Funds Industry: An Analysis of Short and Long-Term Persistence, Journal of Alternative Investments, 2003, 6(3), P. 25–41. Doi: 10.3905/jai.2003.319097

[23] Jagannathan, R., Malakhov, A. and Novikov, D., Do hot hands exit among hedge fund managers? An empirical evaluation, NBER-Working Paper 12015, 2006, Doi: 10.3386/w12015

[24] Herzberg, M. M. Mozes, H. A., The persistence of hedge fund risk: evidence and implications for investors, Journal of Alternative Investments, 2003, 6(2), P. 22–42. Doi: 10.3905/jai.2003.319089