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Nonparametric assessment of hedge fund performance
(2018-04-23)
We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing ...
Performance and Persistence of Brazilian Hedge Funds During the Financial CrisisDesempenho e Persistência de Hedge Funds Brasileiros Durante a Crise Financeira
(Lociedade Brasileira de Finanças, 2011)
Analysis of hedge fund replication products
(2016-09-26)
Hedge fund replication has generated significant academic interest and received increased attention from a broad base of investors. This is mainly driven by its competitive after-fee returns along with its superior liquidity, ...
Tail risk exposures of hedge funds: Evidence from unique Brazilian data
(Sociedade Brasileira de Econometria, 2022)
O desempenho dos hedge funds brasileiros a partir da não normalidade de seus retornos
(2014-02-26)
Devido à utilização de estratégias distintas de investimento dos hedge funds brasileiros caracterizadas pelo uso de derivativos, operações alavancadas e vendas a descoberto, esses fundos apresentam significante não normalidade ...
Applications of nonlinear stochastic discount factors in performance analysis and tail risk
(2018-04-12)
We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identi able stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing restrictions ...
A relação fluxo-performance nos fundos multimercados de gestores independentes
(2021-08-24)
Esse trabalho busca estudar a relação entre o fluxo financeiro nos fundos de investimento multimercados brasileiros, e sua performance passada. A partir de uma amostra significativa, com mais de 1300, e uma janela temporal ...
Análise de performance de fundos de investimento multimercado no Brasil
(2015-05-25)
This work aims to verify if brazilian Hedge Funds generate significant positive alphas, that is, if managers have skill and contribute positively to the return of their funds during the period 2003 through 2013. To find ...