This article characterizes the systematic risk exposures of hedge funds using buy-and-hold
and option-based strategies. Our results show that a large number of equity-oriented hedge …

The Sharpe ratio is adequate for evaluating investment funds when the returns of those
funds are normally distributed and the investor intends to place all his risky assets into just …

Using data on the monthly returns of hedge funds during the period January 1990 to August
1998, we estimate six‐factor Jensen alphas for individual hedge funds, employing eight …

This study examines the performance of sixteen different hedge fund and commodity fund
investment styles during rising and falling stock prices over the period 1990: 01 through …

Extending previous work on hedge fund pricing, this paper introduces the idea of modelling
the conditional quantiles of hedge fund returns using a set of risk factors. Quantile …

Since hedge fund returns exhibit non-linear option-like exposures to standard asset classes
(Fung and Hsieh (1997a, 2000a)), traditional linear factor models offer limited help in …

Hedge funds are among the most innovative and controversial of financial market
institutions. Largely exempt from regulation and shrouded in secrecy, they are credited as …

This study investigates both conventional and Islamic investors' problems as to whether the
inclusion of Islamic and conventional asset classes may expand the frontier of their …

That hedge funds start gaining wide acceptance while they still remain a somewhat
mysterious asset class enhances the need for a better measurement of their performance …

In this paper, the use mean-variance approach for the determination of the benefits of
allocations to hedge funds is critically evaluated. The advantages of investing in hedge …