Hedge Funds: Risk and Return

By B. Malkiel, Atanu Saha. 2005

401 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9852c9facb26dd327cb0b8ab90e85e734538ca3f

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Citations in the corpus

Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2017, background): “In contrast, Posthuma and Van der Sluis (2003) and Malkiel and Saha (2005) suggest that funds could stop reporting as they may realize or anticipate worse performance.”
Macroeconomic Risk and Hedge Fund Returns (2014, background): “Regression (2) in Panel A of Table 3 shows that the average slope on the lagged fund returns ( t i R , ) is positive and statistically significant. 7 Another interesting observation that emerges from Table 3, Panel A is that the incentive fee variable has a positive and significant coefficient in mo”
To Review or Not to Review? Limited Strategic Thinking at the Movie Box Office (2012, neutral): “…field data and cognitive hierarchy approaches are Östling et al., (2007) using Swedish lottery choices and experimental analogues, Goldfarb and Yang (2007), using estimation of firm adoption of 56K modems, and Goldfarb and Xiao (2008) using strategic entry of phone companies into new markets.”
Hedge Funds, Managerial Skill, and Macroeconomic Variables (2011, background): “Malkiel and Saha (2005) report that, after adjusting for various”
Side-by-Side Management of Hedge Funds and Mutual Funds (2010, neutral): “Malkiel and Saha (2005) provide a detailed account of these potential biases for the TASS data.”
Predicting Hedge Fund Failure: A Comparison of Risk Measures (2009, neutral): “incentive fee that has the same effect to investors as shorting a call option on the value of the fund portfolio (Agarwal and Naik (2004), Mitchell and Pul vino (2001), Taleb (2004), and Goetzmann, Ingersoll, and Ross (2003)).”
Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2009, neutral): “For instance, it is well-known that the distribution of hedge fund returns deviates significantly from normality (see, for example, Brooks and Kat, 2002; Agarwal and Naik, 2004; Malkiel and Saha, 2005).”
Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn (2011, neutral): “Specifically, the return on hedge funds is given by the buy-and- There are a number of reasons for this success but the most important one is hedge funds’ apparent ability to deliver superior performance, e.g., a review in Stulz (2007) finds annual alpha of 3 to 5 percent.”
Robust Performance Hypothesis Testing with the Sharpe Ratio (2008, neutral): “As far as the latter is concerned, serial correlation of the actual returns is, arguably, onlyaminor concern for stocks andmutual funds, but it is certainly relevant tohedge funds; forexample, see Brooks and Kat (2002) and Malkiel and Saha (2005).”
The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance (2012, background): “2 Recent papers on cross-sectional determinants of hedge fund performance include Agarwal, Daniel, and Naik (2009); Aggarwal and Jorion (2009); Aragon (2007); Li, Zhang, and Zhao (2011); Liang and Park (2008); Malkiel and Saha(2005);and Titman and Tiu (2011).”