Hedge fund strategies typically generate option-like returns. Linear-factor models using
benchmark asset indices have difficulty explaining them. Following the suggestions in, this …

Following a review of the data and methodological difficulties in applying conventional
models used for traditional asset class indexes to hedge funds, this article argues against …

Empirical evidence indicates that hedge funds differ substantially from traditional investment
vehicles, such as mutual funds. Unlike mutual funds, hedge funds follow dynamic trading …

Hedge funds have become increasingly important players in financial markets. This
heightened importance has spawned a large academic literature focused on issues …

In this paper, I examine survivorship bias in hedge fund returns by comparing two large
databases. I find that the survivorship bias exceeds 2% per year. Results of survivorship bias …

Investors in hedge funds and commodity trading advisors (CTAs) are concerned with risk as
well as return. We investigate the volatility of hedge funds and CTAs in light of managerial …

From a database that is relatively free of bias, this article provides measures of the returns of
hedge funds and of the distinctly nonnormal characteristics of the data. The results include …

" An excellent and comprehensive source of information on hedge funds! From a quantitative
view Lhabitant has done it once again by meticulously looking at the important topics in the …

A comprehensive guide to the burgeoning hedge fund industry Intended as a
comprehensive reference for investors and fund and portfolio managers, Handbook of …

The returns of hedge fund investors depend not only on the returns of the funds they hold but
also on the timing and magnitude of their capital flows in and out of these funds. We use …