In measuring performance persistence, we use hedge fund style benchmarks. This allows us
to identify managers with valuable skills, and also to control for option‐like features inherent …

We construct a traded funding liquidity measure from stock returns. Guided by a model, we
extract the measure as the return spread between two beta-neutral portfolios constructed …

In the early 2000s, the market for private-label residential mortgage-backed securities was
built upon a pyramid of risk, and at the foundation of this pyramid were hedge funds. Few …

We use a new hedge fund data set from a separate account platform to examine (1) how
much of hedge fund return smoothing is due to main fund–specific factors, such as …

In this paper we identify risk factors for Asia-focused hedge funds through a modified style
analysis technique. Using an Asian hedge fund index, we find that Asian hedge funds show …

We revisit the traditional return‐based style analysis in the presence of time‐varying
exposures and errors‐in‐variables (EIV). We apply a benchmark selection algorithm using …

The authors examine the extent to which excess returns from convertible arbitrage represent
positive returns to managers from exploiting pricing inefficiencies versus compensation for …

Private Banking ist ein wichtiger Bereich im Banking, der traditionell sowohl in der
Forschung wie auch in der Lehre vernachlässigt wurde. Das Center of Private Banking …

Risk budgeting is the discipline of allocating risk in an investment portfolio, and is closely
related to the principles of modern portfolio theory. Its use is widespread in the investment …

The article addresses forecasting volatility of hedge fund (HF) returns by using a non-linear
Markov-Switching GARCH (MS-GARCH) framework. The in-and out-of-sample, multi-step …