Second Quarter (2007)

Nusret Cakici and Sris Chatterjee Volume 5, Number 2, Second Quarter 2007 This paper examines the characteristics of merged hedge-funds. The data indicate that merged hedge-funds are larger funds that have underperformed over a two-year period prior to merger and have suffered from significantly lower money-flow prior to merger. Merged hedge-funds are also older funds… Read more

Yong Chen Volume 5, Number 2, Second Quarter 2007 This paper examines the timing ability of hedge funds covering various investment categories. We extend the Treynor-Mazuy (1966) and Henriksson-Merton (1981) market timing models to a multiple market framework and propose the concept of a focus market in which a fund trades most actively. Concentrating on… Read more

William Fung and David A. Hsieh Volume 5, Number 2, Second Quarter 2007 Hedge funds have grown substantially in the past few years even as hedge fund performance has declined with the rapid increase of capital. History tells us that over-priced, active managers will be replaced by low-cost, passive, index-like alternatives. Could the same process… Read more

Craig French and Damian Ko Volume 5, Number 2, Second Quarter 2007 This paper investigates the determinants of hedge fund portfolio performance — whether hedge funds exhibit security selection skill and market-timing skill. We examine a sample of 157 long-short equity hedge funds over the 10-year period from January, 1996 through December, 2005. To account… Read more

Jasmina Hasanhodzic and Andrew W. Lo Volume 5, Number 2, Second Quarter 2007 In contrast to traditional investments such as stocks and bonds, hedge-fund returns have more complex risk exposures that yield additional and complementary sources of risk premia. This raises the possibility of creating passive replicating portfolios or \clones” using liquid exchange-traded instruments that… Read more