Estimating Risk Premiums of Individual Hedge Funds

CFA Digest ◽  
2006 ◽  
Vol 36 (4) ◽  
pp. 6-8
Author(s):  
Keith H. Black
Keyword(s):  
Hedge Funds ◽  
Risk Premiums

scholarly journals Hedge Funds, Arbitrage, and Timing

2020 ◽  
Vol 13 (1) ◽  
pp. 45
Author(s):  
Daniel T. Lawson ◽  
Robert L. Schwartz ◽  
Seth D. Thomas
Keyword(s):  
Hedge Funds ◽  
Small Firms ◽  
Hedge Fund ◽  
Time Varying ◽  
Risk Premiums ◽  
Growth Anomaly ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies ◽  
Asset Growth ◽  
Abnormal Profits

This paper is an extension of the work of Lawson and Schwartz (2018) which analyzes the risk-adjusted performance of hedge funds by employing a collection of four, five, seven, and eight-factor models. The purpose is to evaluate how well the top and bottom performing subset of hedge fund strategies have profited on known asset pricing anomalies during two unique time periods, 1994 to 2000 and 2001 to 2008. The bifurcation of the data into two distinct periods allows for a deeper exploration of the potential time-varying significance of estimated factor arbitrage. Our empirical testing suggests that both the top and bottom performing funds did utilize the asset growth anomaly to generate abnormal profits. Top performers tended to invest with a long emphasis on low asset growth, value firms while the bottom-five performing hedge fund strategies tested positive for a predilection towards going long small firms with low asset growth characteristics. Arguably, these outcomes probably align with the nature of the investment philosophy of each fund strategy. Interestingly, however, the time-varying significance of estimated coefficients for the value and returns momentum factors between the two distinct timeframes suggests either intentional or unintentional rotation between the use of available pricing anomalies and risk premiums.

Estimating Risk Premiums of Individual Hedge Funds

2006 ◽  
Vol 8 (4) ◽  
pp. 1.1-9 ◽  
Author(s):  
Scott Mackey
Keyword(s):  
Hedge Funds ◽  
Risk Premiums

Hedge Funds in Emerging Markets

2001 ◽  
Author(s):  
Gordon de Brouwer
Keyword(s):  
Emerging Markets ◽  
Hedge Funds

Institutional Investors on the Securities Market

2003 ◽  
pp. 95-101
Author(s):  
O. Khmyz
Keyword(s):  
Financial Crisis ◽  
Capital Market ◽  
Hedge Funds ◽  
Institutional Investors ◽  
Securities Market ◽  
Main Role ◽  
Investment Funds ◽  
Investment Process ◽  
The Capital Market

Acording to the author's opinion, institutional investors (from many participants of the capital market) play the main role, especially investment funds. They supply to small-sized investors special investment services, which allow them to participate in the investment process. However excessive institutialization and increasing number of hedge-funds may lead to financial crisis.

Hedge Funds in Corporate Clothing

CFA Magazine ◽  
2005 ◽  
Vol 16 (4) ◽  
pp. 46-47
Author(s):  
Stephen Brown
Keyword(s):  
Hedge Funds

Emerging Market Risk Premiums

CFA Magazine ◽  
2005 ◽  
Vol 16 (2) ◽  
pp. 38-39
Author(s):  
Cynthia Harrington
Keyword(s):  
Emerging Market ◽  
Market Risk ◽  
Risk Premiums

Opportunities and Challenges in Absolute-Return Hedge Funds

2004 ◽  
Vol 2004 (5) ◽  
pp. 10-14
Author(s):  
Dan Och
Keyword(s):  
Hedge Funds

Hedge Funds and the Collapse of Long-Term Capital Management

CFA Digest ◽  
2000 ◽  
Vol 30 (1) ◽  
pp. 76-78
Author(s):  
David B. Miyazaki
Keyword(s):  
Hedge Funds ◽  
Capital Management

Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns

CFA Digest ◽  
2001 ◽  
Vol 31 (1) ◽  
pp. 79-80
Author(s):  
Frank T. Magiera
Keyword(s):  
Exchange Rate ◽  
Equity Returns ◽  
Inflation Risk ◽  
Risk Premiums

Do Hedge Funds Manage Their Reported Returns?

CFA Digest ◽  
2012 ◽  
Vol 42 (1) ◽  
pp. 3-5
Author(s):  
Natalie Schoon
Keyword(s):  
Hedge Funds
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