Relative Value Hedge Funds: A Behavioral Modeling of Hedge Fund Risk and Return Factors

Swartz, Lee Mick; Emami-Langroodi, Farrokh

doi:10.1080/15427560.2018.1434654

Cited by 2 publications

(1 citation statement)

References 14 publications

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“…Swartz and Emami-Langroodiuse 4 models in 11 risk strategies and to introduce 3 new variables [8]. A combination of two or more models may lead to a better result compared to using only one of them.…”

Section: Literature Searchmentioning

confidence: 99%

Can Hedge Fund Returns Be Predicted?

Meng

Zhou

et al. 2023

AEMPS

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After the 2008 financial crisis, hedge funds regained their popularity. Investors naturally wonder whether it is possible to predict and explain hedge fund returns just as its constituents. To answer this question, we examined hedge fund performance of 14 strategies from 2000 to 2017 by separating them into 3 groups. After deriving a statistical model, we applied it to the period of 2017-2022 and examined the errors. We observed that most strategies have a positive risk-adjusted rate of return and the current periods returns have a positive relationship with the previous periods. We concluded that monthly return has too much randomness while 3 strategies yearly returns in the middle quantile could be predicted. More historical return data can improve the accuracy of the model.

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Section: Literature Searchmentioning

confidence: 99%

Can Hedge Fund Returns Be Predicted?

Meng

Zhou

et al. 2023

AEMPS

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Determinants of the Nordic Hedge Fund Performance

Kolisovas

Giriūnienė

Baležentis

et al. 2022

Journal of Business Economics and Management

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Hedge funds have become an important part of the financial sector. The development of the hedge funds in the Nordic countries has been rather robust. Therefore, it is important to identify the determinants of the hedge fund performance and isolate the managerial performance, i.e., the Jensen’s alpha. To this end, this paper construct cross sectional and panel model for the Nordic hedge funds over 2005–2018. The Fung-Hsieh 8-factor model and other models are developed to identify the determinants of the Nordic hedge fund performance. The effects of crises of different nature (local to global, hedge funds to banking sector) are also tested. The results indicate that Nordic hedge funds are capable to generate positive alpha during the crisis even exceeding the alpha of the economically stable time periods.

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Relative Value Hedge Funds: A Behavioral Modeling of Hedge Fund Risk and Return Factors

Cited by 2 publications

References 14 publications

Can Hedge Fund Returns Be Predicted?

Can Hedge Fund Returns Be Predicted?

Determinants of the Nordic Hedge Fund Performance

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