Do the Best Hedge Funds Hedge

By Sheridan Titman, Cristian Tiu. 2011

250 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4d2d39ede47ab8ce32baa0e54b4e4f78cfaf221e

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Citations in the corpus

Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn (2011, background): “Studies have also found some evidence of skill as the origin of this superior performance, e.g., Titman and Tiu (2009) find that hedge funds that tilt away from systematic factors and embrace more idiosyncratic positions provide better returns.”
Systematic Risk and the Cross-Section of Hedge Fund Returns (2012, unknown): “Titman and Tiu (2011) regress individual hedge fund returns on a group of risk factors and find that funds with low R-squares of returns on factors have higher Sharpe ratios.”
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (2013, unknown): “First, a recent paper by Titman and Tiu (2011) finds that better hedge funds (in terms of Sharpe ratios and information ratios) exhibit lower R-squared values with respect to systematic factors.”
On the High Frequency Dynamics of Hedge Fund Risk Exposures (2013, unknown): “For ease of exposition, consider the time-varying exposure of a fund to a single risk factor ( ft 25 In a related paper, Titman and Tiu (2011) show that that hedge funds that exhibit low (high) R2 statistics on static factor models have higher (lower) Sharpe and information ratios.”
The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance (2012, unknown): “Titman and Tiu (2008) find that funds run by managers with superior skills to hedge systematic risk exhibit lower Rsquares with respect to systematic factors and subsequently outperform.”
Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, background): “Titman and Tiu (2009) regress individual hedge fund returns on a group of risk factors and find that funds with low R-squares of returns on systematic factors have higher Sharpe ratios.”
Macroeconomic Risk and Hedge Fund Returns (2014, background): “Titman and Tiu (2011) regress individual hedge fund returns on a group of risk factors and find that funds with low R-squares of returns on factors have higher Sharpe ratios.”