We study the asymmetric responses of hedge fund return moments—especially higher
moments as measured by return co-skewness and co-kurtosis—to macroeconomic and …

We study how downside risk taken by hedge fund strategies responds to macroeconomic
and financial shocks. Using new empirical measures of systematic tail risk, we find that the …

The subprime crisis was quite damaging for hedge funds. Using the local projection method
(Jordà 2004, 2005, 2009), we forecast the dynamic responses of the betas of hedge fund …

This paper examines the adjustment dynamics of hedge fund returns and studies their
exposure to risk factors in a nonlinear framework for several types of strategies over the last …

This paper singles out the key roles of US equity skewness and kurtosis in the hedge fund
return generating process. We propose a conditional higher‐moment model with location …

This paper presents the first comprehensive study of the performance and market timing
ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) …

Artykuł traktuje o wynikach inwestycyjnych funduszy hedge i czynnikach, które należy brać
pod uwagę, analizując ich stopy zwrotu dostępne w komercyjnych bazach danych. Ich …

This study investigates the possible advantages of the use of options and a more complex
derivative strategy of a hedge fund in relation to its performance and risk characteristics. It …

Publisher Summary This chapter introduces a practical approach to monitoring the risk and
performance of funds of hedge funds from the viewpoints of US and global equity investors …

As shown in the first article, it is possible to develop a mathematical forecasting model which
can be used to out-perform the JSE AII Share Index (ALSI) by switching between the ALSI …