In this paper we will compare the risk return pattern along with performance measure of hedge funds to alternative investment vehicles, namely Exchange Traded Funds (ETFs). Our results showed that exchange traded can be used emulate hedged portfolios’ and matrix, performance. are required report their strategies Security Commission. Hedged have proprietary do not

In this paper, we propose a nonparametric test for market timing ability and apply the analysis to a large sample of mutual funds that have different benchmark indices. The test statistic is formed to proxy the probability that a manager loads on more market risk when the market return is relatively high. The test (i) only requires the ex post returns of funds and their benchmark portfolios; (i...

This paper describes the Italian real estate investment funds industry, providing an overview of the distinctive features and risk factors of this sector. By using accounting and supervisory data, we: (1) compute the returns of the real estate assets in the portfolio of these funds; (2) construct a price index and a total return index of the real estate assets held by the Italian funds; (3) def...

This paper examines persistence of raw and risk-adjusted returns for long/short equity hedge funds using the portfolio approach of Hendricks, Patel and Zeckhauser (1993). Only limited evidence of persistence is found for raw returns. Funds with the highest raw returns last year continue to outperform over the subsequent year, although not significantly while there is no persistence in returns b...

In this paper, we apply a nonlinear methodology (Self-Organizing Maps and k-means algorithm) to classify mutual funds. This methodology allows us to identify which mutual funds did not follow the investment objectives established from its official category. We also propose an alternative classification, which has a lower rate of misclassified mutual fund. It achieves better performances in term...

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 one investment fund. Hedge fund returns differ significantly from a normal distribution. For this reason, other performance measures for hedge fund returns have been proposed in both the academic and practiceorient...

This paper examines the interaction of idiosyncratic risk, liquidity and return across time in determining fund performance, as well as across investment style portfolios of European mutual funds. This study utilizes a unique data set including returns for equity mutual funds registered in six European countries. Overall, using monthly data, we find that both liquidity and idiosyncratic risk ar...

This paper uses a large sample containing the complete return histories of 2300 UK openended mutual funds over a 23-year period to measure fund performance. We find some evidence of underperformance on a risk-adjusted basis by the average fund manager, persistence of performance and the existence of a substantial survivor bias. Similar findings have been reported for US equity mutual funds. New...

By testing 88 different funds of the Chinese fund market (CFM), we find fractal behavior and long-range correlations in the return series, which are insensitive to the funds kind. Meanwhile, a power-law relationship between the deviation D of prices and the Hurst exponent H has been obtained, which may be useful for predicting the price time series. In addition, with funds being viewed as nodes...

This paper documents a new and important cross-sectional determinant of hedge fund returns, their exposures to sentiment risk, measured as beta of fund returns to fluctuations in sentiment proxies. For a large sample of equity-oriented hedge funds, those whose sentiment beta ranks in the top decile subsequently outperform the bottom decile by 0.67% per month, after controlling for fund’s exposu...