Risk in Fixed-Income Hedge Fund Styles

By William Fung, David A. Hsieh. 2002

148 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/f83e61022080cbcdc04c812c69313ff85c442dd7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Narayan Naik
2. Martin Eling
3. William Fung
4. David A. Hsieh
5. Vikas Agarwal
6. R. Faust
7. Melvyn Teo
8. Naveen D. Daniel

In Finance

1. Narayan Naik
2. Vikas Agarwal
3. Martin Eling
4. William Fung
5. David A. Hsieh
6. R. Faust
7. Melvyn Teo
8. Naveen D. Daniel

In Strategy and Management

1. William Fung
2. David A. Hsieh
3. Vikas Agarwal
4. Narayan Naik
5. Martin Eling
6. Naveen D. Daniel
7. L. Naveen

Citations in the corpus

• The performance of hedge funds and mutual funds in emerging markets (2010, background): “For example, Fung and Hsieh (2002) develop asset class factor models for fixed income hedge funds and find adjusted R2 values of up to 79%.”
• Hedge Fund Benchmarks: A Risk-Based Approach (2004, methodology): “In this article, we use asset-based style factors (see Fung and Hsieh 2002a) to create hedge fund benchmarks that capture the common risk factors in hedge funds.”
• Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, unknown): “These papers include Fung and Hsieh (1997, 2001, 2002), Ackermann, McEnally, and Ravenscraft (1999), Brown, Goetzmann, and Ibbotson (1999), Brown, Goetzmann, and Park (2000), Dor and Jagannathan (2002), Brown and Goetzmann (2003), Getmansky, Lo, and Makarov (2004), Agarwal and Naik (2004), Malkiel…”
• Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009, background): “6 Across various industry settings, 5 See, for example, Fung and Hsieh (2001, 2002a, 2002b, 2004), Mitchell and Pulvino (2001), Gatev, Goetzmann, and Rouwenhorst (2006), Agarwal and Naik (2004), and Agarwal et al. (2005) for time series variation in hedge fund returns.”
• Hedge Funds: Performance, Risk, and Capital Formation (2008, unknown): “First, a large proportion of the variation in hedge fund returns can be explained by market-related factors (see, for example, Fung and Hsieh (1997, 2001, 2002, 2004a, 2004b), Agarwal and Naik (2004), and Hasanhodzic and Lo (2006)).2 This suggests that hedge fund fees (which are often substantial…”
• Hedge funds: an industry in its adolescence (2006, background): “Fung and Hsieh (2002) analyzed fixed-income hedge funds.”