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Gustavo Passarelli Giroud Joaquim,Marcelo Leite Moura
Pág. 525 - 548
This study investigates the performance and persistence of the Brazilian hedge fund market using daily data from September 2007 to February 2011, a period marked by what was characterized by many as the world?s worst financial crisis since the great depr...
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Fábio Augusto Reis Gomes,Vicente Cresto
Pág. 505 - 529
Long-Short Funds should be able to provide positive returns, above the opportunity cost and independent of market conditions, once they can have both long and short positions. For this reason, this study aims to evaluate the Long-Short funds in Brazil, a...
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Jean-Marc Le Caillec
In this paper, we present the results of nonlinearity detection in Hedge Fund price returns. The main challenge is induced by the small length of the time series, since the return of this kind of asset is updated once a month. As usual, the nonlinearity ...
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Elitania Leyva Rayón
Los hedge funds son fondos de inversión alternativa para grandes patrimonios e inversores institucionales. Dado que coexisten con los fondos tradicionales y otras entidades financieras en muchos de los mismos mercados y con los mismos activos, ...
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Chris van Heerden, Andre Heymans, Gary van Vuuren, Wilme Brand
Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional assets for improving portfolio d...
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Maria Manuela de Orleans e Bragança,Marcelo de Sales Pessoa
Pág. 93 - 134
This work aims to verify if brazilian Hedge Funds generate positive alphas, that is, if managers have skill and contribute positively to the return of their funds during the period 2003 through 2013. To find the alphas, we estimate a seven-factor model b...
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John Muteba Mwamba
This paper investigates the persistence of hedge fund managers skills during periods of boom and/or recession. We consider a data set of monthly investment strategy indices published by Hedge Fund Research group. The data set spans from January 1995 to J...
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Ney Roberto Ottoni de Brito
Pág. pp. 1 - 17
MERTON (1981) examines the creation of value by fund managers selecting between stocks and fixed income instruments through market timing. HENRIKSON and MERTON (1981) proceed to propose empirical tests of funds and manager performance in market timing. B...
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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two mo...
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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two mo...
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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. It is, therefore, not suited f...
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Caio Almeida,Elaine Fang
Pág. 1 - 37
This paper investigates hedge funds? exposures to various risk factors across different investment strategies through models with both linear and second-order factors. We extend the analysis from an augmented linear model based on Fama & French ...
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Sebastien Lleo and William T. Ziemba
Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are th...
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Yolanda Stander,Daniël Marais,Ilse Botha
AbstractA new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate cop...
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Raphael Braga Silva,Roberto Moreno Moreira,Luiz Felipe Jacques Motta
Pág. 237 - 258
The present study has performed an analysis of the effects caused in the performance of Brazilian pension funds by the inclusion of international assets in their portfolios. The Resolution CMN 3456 of June 1, 2007 allowed pension funds in Brazil to alloc...
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Nicola Metzger and Vijay Shenai
The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance ...
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Mohamed Habachi and Saâd Benbachir
Operational risk management remains a major concern for financial institutions. Indeed, institutions are bound to manage their own funds to hedge this risk. In this paper, we propose an approach to allocate one?s own funds based on a combination of histo...
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H. Raubenheimer
AbstractSouth Afric's Equity market provides a large (in terms of volume) but concentrated investment environment. Domestic pension funds are restricted from diversifying globally and are thus faced with a restricted set of investment opportunities. This...
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H. Raubenheimer
AbstractSouth Afric's Equity market provides a large (in terms of volume) but concentrated investment environment. Domestic pension funds are restricted from diversifying globally and are thus faced with a restricted set of investment opportunities. This...
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Stoyu I. Ivanov
In this study, we attempt to identify the asset which has the best hedging characteristics against inflation. We study stock, bond, commodity, real estate and oil indexes. We also study these indexes tracking exchange traded funds (ETFs) to determine the...
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