Using cross-sectional forecasts, we compare fundamental analysis strategies based on quality, such as FSCORE from Piotroski (2000) and GSCORE from Mohanram (2005), with strategies based on value, such as the V/P ratio from Frankel and Lee (1998) and the PEG ratio. We find that all four strategies generate significant hedge returns. Combining quality-driven (FSCORE or GSCORE) with value-driven a...

This article documents a decline in aggregate hedge fund performance over the past decade. We tested whether set of prediction models can select subsets individual funds that buck trend and subsequently outperform. Two predictors reliably picked lowered volatility raised Sharpe ratio multi-asset-class portfolio relative to stock/bond full 1997–2016 sample. Hedge allocations reduced two subperio...

The financial guarantees embedded in variable annuity (VA) contracts expose insurers to a wide range of risks, lapse risk being one of them. When policyholders’ lapse behavior differs from the assumptions used to hedge VA contracts, the effectiveness of dynamic hedging strategies can be significantly impaired. By studying how the fee structure and surrender charges affect surrender incentives, ...

This research attempts to develop an analytical framework for hedge fund investment. Various issues related to the hedge fund investment have been addressed. This paper focuses on three distinct areas of hedge fund research, namely, bias in hedge fund data, the classification of hedge funds, and performance attribution of hedge funds. All studies, reported in this paper, have been carried out u...

Hedge fund databases vary as to the type of funds to include and in their classification scheme. Investment strategy and/or investment style are the basis for classification. Considerable variation is observed in the definitions, return calculation methodologies, and assumptions. There exists a myriad of classifications, some overlapping and some mutually exclusive. There is a need for an ‘alte...