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The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors
8 references·16 citing·35 second hop
The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors (2002)The Statistical Properties of Hedge Fund …Do Hedge Funds Hedge? (2001)Do Hedge Funds Hedge?Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…Hedge Funds: The Living and the Dead (2000)Hedge Funds: The Living and t…The Sharpe Ratio (1994)The Sharpe RatioOn The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…Mutual Fund Performance (1966)Mutual Fund PerformancePortfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Risk Measures for Autocorrelated Hedge Fund Returns (2014)Risk Measures for Autocorrela…The Sharpe ratio efficient frontier (2012)The Sharpe ratio efficient fr…Is international diversification really beneficial? (2009)Is international diversificat…Fund of hedge funds portfolio selection: A multiple-objective approach (2009)Fund of hedge funds portfolio…Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Strategic asset allocation wi…Spectral risk measures and portfolio selection (2008)Spectral risk measures and po…Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Portfolio Performance Evaluat…Does the Measure Matter in the Mutual Fund Industry? (2008)Does the Measure Matter in th…Systemic Risk and Hedge Funds (2007)Systemic Risk and Hedge FundsStochastic dominance analysis of Asian hedge funds (2007)Stochastic dominance analysis…Robust Performance Hypothesis Testing with the Sharpe Ratio (2007)Robust Performance Hypothesis…Does the choice of performance measure influence the evaluation of hedge funds? (2007)Does the choice of performanc…Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? (2006)Risk and Return in Fixed-Inco…Systemic Risk and Hedge Funds (2005)Systemic Risk and Hedge FundsHedge Funds: Risk and Return (2005)Hedge Funds: Risk and ReturnHedge fund performance appraisal using data envelopment analysis (2004)Hedge fund performance apprai…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Coherent Measures of Risk (1999)Do socially (ir)responsible investments pay? New evidence from international ESG data (2015)The profitability of pairs trading strategies: distance, cointegration and copula methods (2016)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Theory of Financial Decision Making. (1988)Conditional Skewness in Asset Pricing Tests (2000)Introductory Econometrics for Finance (2008)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Characteristics of Risk and Return in Risk Arbitrage (2001)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Wall Street and Main Street: What Contributes to the Rise in the Highest Incomes? (2009)Hedge fund leverage (2011)Macroeconomic risk and hedge fund returns (2014)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)The journal of financial economics (1993)Share restrictions and asset pricing: Evidence from the hedge fund industry☆ (2006)Common risk factors in the returns on stocks and bonds (1993)Contrarian Investment, Extrapolation, and Risk (1994)On Persistence in Mutual Fund Performance (1997)Multi-Period Performance Persistence Analysis of Hedge Funds (2000)Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆ (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1994The Sharpe Ratio2,542 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 2000Hedge Funds: The Living and the Dead621 cited
  • 2001Do Hedge Funds Hedge?523 cited

Cited by

  • 2005Hedge Funds: Risk and Return428 cited
  • 2007Does the choice of performance measure influence the evaluation of hedge funds?424 cited
  • 2006Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?283 cited
  • 2008Strategic asset allocation with liabilities: Beyond stocks and bonds244 cited
  • 2005Systemic Risk and Hedge Funds224 cited
  • 2008Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance215 cited
  • 2014Risk Measures for Autocorrelated Hedge Fund Returns193 cited

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2012
The Sharpe ratio efficient frontier
190 cited
  • 2008Does the Measure Matter in the Mutual Fund Industry?155 cited
  • 2009Is international diversification really beneficial?148 cited
  • 2007Stochastic dominance analysis of Asian hedge funds136 cited
  • 2008Spectral risk measures and portfolio selection134 cited
  • 2004Hedge fund performance appraisal using data envelopment analysis130 cited
  • 2007Robust Performance Hypothesis Testing with the Sharpe Ratio119 cited
  • 2007Systemic Risk and Hedge Funds110 cited
  • 2009Fund of hedge funds portfolio selection: A multiple-objective approach100 cited