Hedge Fund Performance And Higher Moment Market Models
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Hedge Fund Performance And Higher Moment Market Models
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Author : Angelo Ranaldo
language : en
Publisher:
Release Date : 2013
Hedge Fund Performance And Higher Moment Market Models written by Angelo Ranaldo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The CAPM model comes up short when explaining the superior performance of hedge funds in the past. This article argues that the Markowitz mean-variance criterion underpinning the traditional CAPM may fail to capture systematic features characterizing hedge fund performance. The two-moment market model is extended to a higher-moment model to accommodate coskewness and cokurtosis. The authors note that the higher-moment approach is more appropriate for capturing the non-linear relation between hedge fund and market returns and accounting for the specific risk-return payoffs of each hedge fund investment strategy. The key result is that the two-moment pricing model on a stand alone basis may be misleading and may wrongly indicate insufficient compensation for the investment risk.
Hedge Funds
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Author : Greg N. Gregoriou
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-04
Hedge Funds written by Greg N. Gregoriou and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-04 with Business & Economics categories.
Whether already experienced with hedge funds or just thinking about investing in them, readers need a firm understanding of this unique investment vehicle in order to achieve maximum success. Hedge Funds unites over thirty of the top practitioners and academics in the hedge fund industry to provide readers with the latest findings in this field. Their analysis deals with a variety of topics, from new methods of performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, an understanding and applicability of the results as well as theoretical developments are stressed. Filled with in-depth insight and expert advice, Hedge Funds helps readers make the most of this flexible investment vehicle.
How To Price Hedge Funds
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Author : Angelo Ranaldo
language : en
Publisher:
Release Date : 2014
How To Price Hedge Funds written by Angelo Ranaldo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
The CAPM model is hard put to explain the superior performance of hedge funds in the past. We argue that the Markowitz mean-variance criterion underpinning the traditional CAPM may fail to capture systematic features characterizing hedge fund performance. Thus, we extend the two-moment market model to a higher-moment model to accommodate coskewness and cokurtosis. The higher-moment approach is more appropriate for capturing the non-linear relation between hedge fund and market returns and accounting for the specific risk-return payoffs of each hedge fund investment strategy. The key result is that the use solely of the two-moment pricing model may be misleading and may wrongly indicate insufficient compensation for the investment risk.
Multi Moment Asset Allocation And Pricing Models
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Author : Emmanuel Jurczenko
language : en
Publisher: John Wiley & Sons
Release Date : 2006-10-02
Multi Moment Asset Allocation And Pricing Models written by Emmanuel Jurczenko and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-02 with Business & Economics categories.
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
All Style Hedge Fund Analysis With Constant And Time Varying Factor Loading Models
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Author : Christian Schmidiger
language : en
Publisher:
Release Date : 2017
All Style Hedge Fund Analysis With Constant And Time Varying Factor Loading Models written by Christian Schmidiger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Driven by vast historical growth and the recent crises, the hedge fund industry has undergone several changes. This thesis presents studies on the analysis of hedge fund returns within changing market states by applying different constant, asymmetric and time-varying factor loading models. Considered models include the CAPM, Fama-French 3-factor model, Carhart 4-factor model, Fama-French 5-Factor model, Agarwal-Naik 8-factor model and the Fung-Hsieh 7- and 8-factor models. In addition, and unlike previous research, 94 hedge fund strategy styles have been analysed individually to test whether the model performances differ among approaches.The first full-sample analysis exhibits generally low explanatory power whereby the more sophisticated models perform superiorly. Equity strategies, especially long-only funds, exhibit high adjusted R-Squared among all models, while fixed income, fundamental and technical hedge funds result in low significance. The CUSUM control chart based crisis/non-crisis dummy cannot substantially improve the explanatory power of the models. Hedge fund alpha and factor significance varies considerably among strategies and the power of the models remains similarly poor. Asymmetric up/down models exhibit slightly improved explanatory power while the significance of alpha diminishes. Replacing the conditional up/down variable by the crisis/non-crisis setting resulted in inferior results. Empirical analysis with asymmetric higher-moment models approves the asymmetries in hedge fund returns partially. Moreover, a time-varying approach substantially improves the explanatory power of all models while hedge fund alpha further diminishes. All dynamic models exhibit significant exposures on macro state variables for a high proportion of funds. To summarise, it has been shown how simple models can be fitted to increase the explanatory power. As a result, the adjusted R-Squared were improved by 73%. On a strategy level, equity funds are explained the best while fixed income, fundamental and technical hedge funds are the most difficult to analyse.
Making Money With Statistical Arbitrage Generating Alpha In Sideway Markets With This Option Strategy
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Author : Jan Becker
language : en
Publisher: Anchor Academic Publishing (aap_verlag)
Release Date : 2013-06-01
Making Money With Statistical Arbitrage Generating Alpha In Sideway Markets With This Option Strategy written by Jan Becker and has been published by Anchor Academic Publishing (aap_verlag) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-01 with Political Science categories.
In the following study, I am going to present a short survey of the hedge fund industry, its regulation and the existent hedge fund strategies. Statistical arbitrage in particular is explained in further detail, and major performance measurement ratios are presented. In the second part, I am going to introduce a semi-variance model for statistical arbitrage. The model is compared to the standard Garch model, which is often used in daily option trading, derivate pricing and risk management. As investment returns are not equally distributed over time, sources for statistical arbitrage occur. The semi-variance model takes skewness into account and provides higher returns at lower volatility than the Garch model. The concept is aimed to be a synopsis of mean reversion and chart pattern detection. The computer model is generated with respect to Brownian motion and technical analysis and provides significant returns to the investment. While the market efficiency hypothesis states the impossibility of long-term arbitrage opportunities, market anomalies outstand significantly. Connecting both elements creates a profitable trading system. The combination of both approaches delivers a sensible hedge fund concept. The out-of-sample backtest verifies out-performance and implies the need for further research in the area of higher moment CAPM and additional market timing strategies as sources of statistical arbitrage.
Hedge Funds
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Author : Greg N. Gregoriou
language : en
Publisher: Beard Books
Release Date : 2003
Hedge Funds written by Greg N. Gregoriou and has been published by Beard Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
Twenty-one contributions from academics and practitioners discuss recent research on hedge funds. Aimed at investment professionals and high net worth individuals, the text deals with current methods of hedge fund tracking, evaluation, and selection. Sample topics include convertible arbitrage funds
Derivatives And Hedge Funds
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Author : Stephen Satchell
language : en
Publisher: Springer
Release Date : 2016-05-18
Derivatives And Hedge Funds written by Stephen Satchell and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-18 with Science categories.
Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
Market Risk Management For Hedge Funds
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Author : Francois Duc
language : en
Publisher: John Wiley & Sons
Release Date : 2010-04-01
Market Risk Management For Hedge Funds written by Francois Duc and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-04-01 with Business & Economics categories.
This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the market, and at its latest developments. It then moves on to examine the range of risks, risk controls, and risk management strategies currently employed by practitioners, and focuses on particular risks embedded in the more classic investment strategies such as Long/Short, Convertible Arbitrage, Fixed Income Arbitrage, Short selling and risk arbitrage. Addressed along side these are other risks common to hedge funds, including liquidity risk, leverage risk and counterparty risk. The book then moves on to examine more closely two models which provide the underpinning for market risk management in investment today - Style Value-at-Risk and Implicit Value-at-Risk. As well as full quantitative analysis and backtesting of each methodology, the authors go on to propose a new style model for style and implicit Var, complete with analysis, real life examples and backtesting. The authors then go on to discuss annualisation issues and risk return before moving on to propose a new model based on the authors own Best Choice Implicit VaR approach, incorporating quantitative analysis, market results and backtesting and also its potential for new hedge fund clone products. This book is the only guide to VaR for Hedge Funds and will prove to be an invaluable resource as we embark into an era of increasing volatility and uncertainty.
Hedge Funds
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Author : Harold Kent Baker
language : en
Publisher: Oxford University Press
Release Date : 2017
Hedge Funds written by Harold Kent Baker and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Business & Economics categories.
Hedge Funds: Structure, Strategies, and Performance spans the gamut from theoretical to practical coverage of an intriguing but often complex subject and provides insights into the field from leading experts around the world.