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Performance Evaluation of Hedge Funds with Option-Based and Buy-and-Hold Strategies · Study

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PreprintPerformance Evaluation of Hedge Funds with Option-Based and Buy-and-Hold Strategies

Vikas Agarwal2000

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Preprintgreen2000

Performance Evaluation of Hedge Funds with Option-Based and Buy-and-Hold Strategies

Vikas Agarwal · Narayan Y. Naik

96 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Private Equity and Venture Capital

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References

1973The Pricing of Options and Corporate Liabilities 1997On Persistence in Mutual Fund Performance 1996Multifactor Explanations of Asset Pricing Anomalies 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds 1998Implied Volatility Functions: Empirical Tests 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills

Cited by

2005Factor Modeling and Benchmarking of Hedge Funds 2005Impact of fund size on hedge fund performance 2012The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory 2004Predictability in Hedge Fund Returns 2009Tracking Problems, Hedge Fund Replication and Alternative Beta 2004How to Price Hedge Funds: From Two- to Four-Moment CAPM

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2005Timing Ability in the Focus Market of Hedge Fundspreprint · 18 shared references 2015Hedge Funds: A Dynamic Industry in Transitionreview · 16 shared references 2010Mutual Fund Performance: Measurement and Evidence1article · 15 shared references 2009Market timing of CTAs: An examination of systematic CTAs vs. discretionary CTAsarticle · 15 shared references 2007Do Market Timing Hedge Funds Time the Market?article · 14 shared references 2010Investment Performance Evaluationreview · 14 shared references

Details

Year2000

Typepreprint

Published2000-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations96

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.238708

openalex_workW2158210486

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2020A Review of the Performance Measurement of Long-Term Mutual Funds

2003Hedge Fund Risk Factors and Value at Risk of Credit Trading Strategies