Short-term hedge fund performance

Slavutskaya, Anna

Short-term hedge fund performance

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2013

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

Journal of Banking & Finance ; 37 (2013), 11. - S. 4404-4431. - ISSN 0378-4266. - eISSN 1872-6372

Zusammenfassung

Hedge fund returns are often explained using linear factor models such as Fung and Hsieh (2004). However, since most hedge funds live only for 3 years, these linear regressions are subject to over-parameterization. I improve the out-of-sample accuracy of the linear factor model by combining cross-sectional and time series information for groups of hedge funds with similar investment strategies. The additional cross-sectional information allows more accurate estimates of risk exposures. I also propose a trading strategy based on this methodology for extracting substantially larger risk-adjusted returns.

Fachgebiet (DDC)

330 Wirtschaft

Zitieren

ISO 690

SLAVUTSKAYA, Anna, 2013. Short-term hedge fund performance. In: Journal of Banking & Finance. 37(11), pp. 4404-4431. ISSN 0378-4266. eISSN 1872-6372. Available under: doi: 10.1016/j.jbankfin.2013.07.034

BibTex

@article{Slavutskaya2013-11Short-41827,
  year={2013},
  doi={10.1016/j.jbankfin.2013.07.034},
  title={Short-term hedge fund performance},
  number={11},
  volume={37},
  issn={0378-4266},
  journal={Journal of Banking & Finance},
  pages={4404--4431},
  author={Slavutskaya, Anna}
}

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Universitätsbibliographie

Ja