scholarly journals Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis

10.3386/w9111 ◽  
2002 ◽  
Author(s):  
Arik Ben Dor ◽  
Ravi Jagannathan
Keyword(s):  
Mutual Fund ◽  
Hedge Fund ◽  
Style Analysis

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

The Dynamis Fund: An Energy Hedge Fund

2017 ◽  
pp. 1-12
Author(s):  
George (Yiorgos) Allayannis ◽  
Mark R. Eaker ◽  
Alec Bocock
Keyword(s):  
Performance Evaluation ◽  
Asset Management ◽  
Hedge Funds ◽  
Mutual Fund ◽  
Hedge Fund ◽  
Investment Strategies ◽  
Futures Options ◽  
Pros And Cons ◽  
Oil Sector ◽  
Evaluation Techniques

Fred Bocock was examining the performance of the Energy Hedge Fund and the Energy Portfolio, a hedge fund and a mutual fund respectively, which he manages. Bocock had become increasingly aware that absolute returns or relative returns (returns relative to a benchmark) may not adequately capture his performance and some measure of risk-adjusted performance was necessary. The Dynamis Energy Hedge Fund extends the discussion of performance evaluation into the hedge fund arena. (See “Zeus Asset Management,” UVA-F-1232, for an examination of performance evaluation techniques in the mutual funds arena.) More broadly, the case engages students in discussions on what hedge funds are, what investment strategies they use, and who their investors are. Since the portfolio manager of Dynamis manages both an oil sector equity mutual fund and an oil sector hedge fund, the case allows for a comparison between a hedge fund and a mutual fund. Students should consider the pros and cons of evaluating the performance of the oil stock mutual fund against a number of oil sector stock indices as well as against a number of generic indices, such as the S&P 500 Index. The use of futures, options, shorts, and leverage by hedge funds makes it a lot more difficult to measure their performance. The case comes with a spreadsheet that contains data on the energy mutual fund, the Dynamis hedge fund, and several relevant indices.

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

2020 ◽  
Vol 66 (12) ◽  
pp. 5505-5531 ◽  
Author(s):  
Mark Grinblatt ◽  
Gergana Jostova ◽  
Lubomir Petrasek ◽  
Alexander Philipov
Keyword(s):  
Mutual Funds ◽  
Hedge Funds ◽  
Mutual Fund ◽  
Hedge Fund ◽  
Fund Performance ◽  
Short Sales ◽  
Fund Managers ◽  
Liquidity Provision ◽  
Stock Picking ◽  
Hedge Fund Performance

Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, and mutual fund strategies are largely trend following. The only institutional performers—the two thirds of hedge fund managers that are contrarian—earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all other manager types, especially when purchasing stocks from momentum-oriented hedge and mutual fund managers. Superior contrarian hedge fund performance exhibits persistence and stems from stock-picking ability rather than liquidity provision. Aggregate short sales further support these conclusions about the style and skill of various fund manager types. This paper was accepted by Tyler Shumway, finance.

Mutual Fund Misclassification: Evidence Based on Style Analysis

1997 ◽  
Vol 53 (5) ◽  
pp. 32-43 ◽  
Author(s):  
Dan diBartolomeo ◽  
Erik Witkowski
Keyword(s):  
Mutual Fund ◽  
Evidence Based ◽  
Style Analysis

scholarly journals What's the difference between a hedge fund and a mutual fund?

2014 ◽  
Vol 22 (4) ◽  
pp. 270-271
Author(s):  
Douglas R Mckay ◽  
Daniel A Peters
Keyword(s):  
Mutual Fund ◽  
Hedge Fund ◽  
The Difference

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.

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