scholarly journals Hedge Fund Return Dynamics: Long Memory and Regime Switching

2012 ◽  
Author(s):  
Mohamed-Ali Limam ◽  
Virginie Terraza ◽  
Michel Terraza
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Hedge Fund ◽  
Return Dynamics ◽  
Fund Return

scholarly journals Hedge Fund Return Dynamics: Long Memory and Regime Switching

2017 ◽  
Vol 8 (4) ◽  
pp. 148
Author(s):  
M. A. Limam ◽  
V. Terraza ◽  
M. Terraza
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Fractional Integration ◽  
Hedge Fund ◽  
Unified Framework ◽  
Long Memory Process ◽  
High Volatility ◽  
Hedge Fund Returns ◽  
Return Dynamics ◽  
Fund Return

This paper investigates the dynamics of hedge fund returns and their behavior of persistence in a unified framework through the Markov Switching ARFIMA model of Härdle and Tsay (2009). Major results based on the CSFB/Tremont hedge fund indexes monthly data during the period 1994-2012, highlight the importance of the long memory parameter magnitude i.e shocks in shaping hedge fund return dynamics and show that the hedge fund dynamics are characterized by two levels of persistence: in the first one, associated to low-volatility regime, hedge fund returns are a stationary long memory process whereas in the second one, associated to high-volatility regime, returns exhibit higher parameter of fractional integration. More precisely, in high volatility regime i.e periods of turmoil, the process tends to be non-stationary but still exhibits a mean-reverting behavior. The findings are interesting and enable us to establish a relationship between hedge fund return states and memory phenomenon.

scholarly journals Performance fees and hedge fund return dynamics

2015 ◽  
Vol 65 ◽  
pp. 45-58
Author(s):  
Serge Darolles ◽  
Christian Gourieroux
Keyword(s):  
Hedge Fund ◽  
Performance Fees ◽  
Return Dynamics ◽  
Fund Return

A Regime Switching Long Memory Model for Electricity Prices

2006 ◽  
Author(s):  
Niels Haldrup ◽  
Morten Ørregaard Nielsen
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Memory Model ◽  
Electricity Prices

Hedge Fund Predictability Under the Magnifying Glass: The Economic Value of Individual Fund Return Forecasting

2010 ◽  
Author(s):  
Doron Avramov ◽  
Laurent Barras ◽  
Robert Kosowski
Keyword(s):  
Economic Value ◽  
Hedge Fund ◽  
Fund Return

Regime-Switching and Long Memory in Systematic Risk: Evidence from Realized Betas of Industry Portfolios

2011 ◽  
Author(s):  
Kam Fong Chan ◽  
Robert G. Bowman ◽  
Gillian Lawrence
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Systematic Risk

Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication

2005 ◽  
Author(s):  
Harry M. Kat ◽  
Helder P. Palaro
Keyword(s):  
Hedge Funds ◽  
Hedge Fund ◽  
Fund Return

Hedge Fund Return Misreporting: Incentives and Effects

2011 ◽  
Author(s):  
Petri Jylha
Keyword(s):  
Hedge Fund ◽  
Fund Return

Modelling Sovereign Ratings Impacts on Stock Return Distributions within a Multivariate Regime Switching Long Memory Framework

2012 ◽  
Author(s):  
Hung Xuan Do ◽  
Robert Darren Brooks ◽  
Sirimon Treepongkaruna ◽  
Eliza Wu
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Stock Return ◽  
Return Distributions

scholarly journals Distributional Replication

Entropy ◽  
2021 ◽  
Vol 23 (8) ◽  
pp. 1063
Author(s):  
Brendan K. Beare
Keyword(s):  
Hedge Fund ◽  
Minimum Cost ◽  
Random Variable ◽  
Optimal Approximation ◽  
Regularity Conditions ◽  
Return Distribution ◽  
Continuous Random Variable ◽  
Hedge Fund Replication ◽  
Market Index ◽  
Fund Return

A function which transforms a continuous random variable such that it has a specified distribution is called a replicating function. We suppose that functions may be assigned a price, and study an optimization problem in which the cheapest approximation to a replicating function is sought. Under suitable regularity conditions, including a bound on the entropy of the set of candidate approximations, we show that the optimal approximation comes close to achieving distributional replication, and close to achieving the minimum cost among replicating functions. We discuss the relevance of our results to the financial literature on hedge fund replication; in this case, the optimal approximation corresponds to the cheapest portfolio of market index options which delivers the hedge fund return distribution.

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