Dynamic Hedge Fund Style Analysis with Errors-in-Variables

2008 ◽  
Author(s):  
Laurent Bodson ◽  
Alain Coen ◽  
Georges Hubner
Keyword(s):  
Hedge Fund ◽  
Style Analysis ◽  
Errors In Variables

DYNAMIC HEDGE FUND STYLE ANALYSIS WITH ERRORS-IN-VARIABLES

2010 ◽  
Vol 33 (3) ◽  
pp. 201-221 ◽  
Author(s):  
Laurent Bodson ◽  
Alain Coën ◽  
Georges Hübner
Keyword(s):  
Hedge Fund ◽  
Style Analysis ◽  
Errors In Variables

Extraordinary Value Partners, LLC

2017 ◽  
pp. 1-8
Author(s):  
Ravi Jagannathan ◽  
Paul Gao ◽  
Eric Green
Keyword(s):  
Portfolio Optimization ◽  
Hedge Fund ◽  
Style Analysis ◽  
Investment Opportunity ◽  
Mean Variance Portfolio ◽  
Mean Variance

Sun Charities has an endowment of $100 million. Parker, the chief investment officer of Sun Charities, has an opportunity to invest in Extraordinary Value Partners (EVP), a hedge fund. He is considering investing $10 million in EVP. How should he evaluate the investment opportunity?Application of return-based style analysis to evaluate the performance of a long-short equities hedge fund. Use of mean-variance portfolio optimization for deciding how much to invest in the long-short fund.

Style Analysis and Consistency

2017 ◽  
Author(s):  
William R. McCumber ◽  
Jyotsaana Parajuli
Keyword(s):  
Risk Factor ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Style Analysis ◽  
Financial Instruments ◽  
Positive Return ◽  
Primary Strategy

This chapter explores the degree to which hedge funds’ performance is attributable to a self-declared style that broadly describes managers’ primary investment focus. Hedge funds’ self-declared styles and strategies are meant to be descriptive and to attract investor capital seeking exposure to that strategy and opportunity. Hedge fund strategies have evolved as managers uncover and exploit new opportunities. In practice, even when a majority of investor capital is dedicated to a primary strategy, managers complement a primary strategy with other positions in an attempt to earn positive returns. The freedom with which managers can operate regarding regulation and the breadth of financial instruments available make long-term and clear categorization of hedge fund styles difficult. Although research shows that many funds consistently deliver superior returns in a given style, many also deliver alpha, a positive return that is not attributable to any style or risk factor.

The Econometric Analysis of Hedge Fund Returns: An Errors-In-Variables Perspective

2008 ◽  
Author(s):  
Jean-Pierre Levy Mangin ◽  
François-Eric Racicot ◽  
Raymond Theoret
Keyword(s):  
Hedge Fund ◽  
Econometric Analysis ◽  
Errors In Variables ◽  
Hedge Fund Returns

scholarly journals Cumulant instrument estimators for hedge fund return models with errors in variables

2014 ◽  
Vol 46 (10) ◽  
pp. 1134-1149 ◽  
Author(s):  
François-Éric Racicot ◽  
Raymond Théoret
Keyword(s):  
Hedge Fund ◽  
Errors In Variables ◽  
Fund Return

Hedge Fund Returns, Kalman Filter, and Errors-in-Variables

2010 ◽  
Vol 38 (3) ◽  
pp. 377-378 ◽  
Author(s):  
François-Éric Racicot ◽  
Raymond Théoret
Keyword(s):  
Kalman Filter ◽  
Hedge Fund ◽  
Errors In Variables ◽  
Hedge Fund Returns

scholarly journals UNDERSTANDING MUTUAL FUND AND HEDGE FUND STYLES USING RETURN-BASED STYLE ANALYSIS

2005 ◽  
pp. 63-108 ◽  
Author(s):  
Arik Ben Dor ◽  
Ravi Jagannathan ◽  
Iwan Meier
Keyword(s):  
Mutual Fund ◽  
Hedge Fund ◽  
Style Analysis
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