Revisiting 'Stylized Facts' About Hedge Funds

Joenväärä, Juha; Kauppila, Mikko; Kosowski, Robert; Tolonen, Pekka

doi:10.2139/ssrn.1989410

Cited by 31 publications

(20 citation statements)

References 3 publications

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“…We use data from BarclayHedge, the most comprehensive hedge fund dataset. Joenväärä et al () analyse five hedge fund datasets and find BarclayHedge to be the most reliable. They show that EurekaHedge and Morningstar (1994–2012) do not adequately account for defunct funds, and that Lipper Hedge Fund data (formerly TASS) has a bias towards smaller hedge funds.…”

Section: Data Factors and Modelsmentioning

confidence: 99%

“…They also find that most of the differences have diminished recently, particularly since 2004, which encompasses most of the time of our study. Finally, Joenväärä et al () recommend BarclayHedge: ‘ The BarclayHedge database seems to be the most suitable database in value‐weighted and cross sectional analyses due to its comprehensive AuM coverage ' (pp. 7).…”

Section: Data Factors and Modelsmentioning

confidence: 99%

“…Joenväärä et al . () analyse the most commonly used hedge fund data available, and find that idiosyncratic biases across hedge fund datasets have mostly disappeared. This finding means that complicated multi‐dataset merges (as in Titman and Tiu, ) are no longer necessary to obtain representative data.…”

Section: Introductionmentioning

confidence: 99%

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The Revealed Preference of Sophisticated Investors

Blocher

Molyboga

2017

Euro Fin Management

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Berk and van Binsbergen (2016) have shown that the Capital Asset Pricing Model (CAPM) best represents the revealed preferences of any investor who can invest in mutual funds (i.e., all investors). This claim seems overly broad, as it applies to all asset classes. However, we show that hedge fund investors' revealed preferences are also best modeled by the CAPM. Because hedge fund investors are sophisticated and can access all assets classes, our finding supports this broad claim. Using the CAPM is rational, as we show that CAPM alpha correlates with managerial skill and predicts performance better than other multi‐factor models.

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Section: Data Factors and Modelsmentioning

confidence: 99%

Section: Data Factors and Modelsmentioning

confidence: 99%

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The Revealed Preference of Sophisticated Investors

Blocher

Molyboga

2017

Euro Fin Management

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“…Joenväärä et al . () aggregate many of the existing hedge fund databases and uncover a host of interesting biases related to the performance of hedge funds.…”

Section: Introductionmentioning

confidence: 99%

“…Patton et al (Forthcoming) find that the revision of historical returns by hedge funds is not random and is partly predictable, which might introduce biases in hedge fund return data. Joenväärä et al (2013) aggregate many of the existing hedge fund databases and uncover a host of interesting biases related to the performance of hedge funds. Ang et al (2011) study the behaviour of hedge fund leverage over the business cycle, while Lan et al (2011) construct a theoretical model to understand how a hedge fund's alpha, fee structure, leverage and returns might be related.…”

mentioning

confidence: 99%

The Impact of Quantitative Methods on Hedge Fund Performance

Chincarini

2013

Euro Fin Management

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In the last 20 years, the amount of assets managed by quantitative and qualitative hedge funds have grown dramatically. We examine the difference between quantitative and qualitative hedge funds in a variety of ways, including management differences and performance differences. We find that both quantitative and qualitative hedge funds have positive risk‐adjusted returns. We also find that overall, quantitative hedge funds as a group have higher αs than qualitative hedge funds. The outperformance might be as high as 72 bps per year when considering all risk factors. We also suggest that this additional performance may be due to better timing ability.

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An Analysis of the Risk‐Return Characteristics of Serially Correlated Managed Futures

Elaut

Erdős²,

Sjödin

2016

Journal of Futures Markets

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We investigate the implications of low but persistent serial correlation in Managed Futures' returns for portfolio management. Using a measure based on the unweighted sum of autocorrelations, we find that more positively autocorrelated Managed Futures exhibit distinctly different risk‐return profiles and outperform, on a risk‐adjusted basis, Managed Futures that exhibit lower degrees of serial correlation. The observed premium is unlikely to be explained by a concentration in certain strategies, fund size and age, attrition or delisting bias, and does not seem to hamper Managed Futures' portfolio benefits as a tail‐risk hedge. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:992–1013, 2016

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Revisiting 'Stylized Facts' About Hedge Funds

Cited by 31 publications

References 3 publications

The Revealed Preference of Sophisticated Investors

The Revealed Preference of Sophisticated Investors

The Impact of Quantitative Methods on Hedge Fund Performance

An Analysis of the Risk‐Return Characteristics of Serially Correlated Managed Futures

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