Performance sharing in risky portfolios: the case of hedge fund returns and fees...(e.g., equity long/short hedge fund managers) to extract additional income from constrained institutional investors....
Www.mscibarra.com 130-30 implementation challenges understanding the performance drivers of a short extension strategyShort extension strategies, also known as active extension strategies or 130/30 strategies, bridge the gap between traditional long-only portfolios and unconstrained long-short hedge funds by allowing limited leverage and shorting to be used in the construction of the portfolio....
1 forthcoming, journal of investment management extracting portable alphas from equity long-short hedge funds byThis paper shows empirically that Equity Long/Short hedge funds have significant alpha to both conventional as well as alternative (hedge fund-like) risk factors utilizing hedge fund data from three major data bases....
Liquidity risk, return predictability, and hedge funds’ performance: an empirical study... This outperformance disappears or weakens substantially for most emerging markets, event-driven, and long/short hedge fund portfolios once we account for liquidity risk....
