The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers

By William Fung, David A. Hsieh. 2001

1,235 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fad7ef9885a685516ac36d6142cba5e1757a9d4b

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. Melvyn Teo
2. Turan G. Bali
3. Andrew J. Patton
4. Robert Kosowski
5. Narayan Naik
6. Vikas Agarwal
7. Martin Eling
8. William Fung

In Finance

1. Melvyn Teo
2. Turan G. Bali
3. Andrew J. Patton
4. Vikas Agarwal
5. Narayan Naik
6. Robert Kosowski
7. Nicolas P. B. Bollen
8. Stephen J. Brown

Citations in the corpus

• Liquidity Risk and the Cross-Section of Hedge-Fund Returns (2010, background): “In addition to the liquidity factor, the paper includes various factors shown to be important in the hedge-fund literature (see, e.g., Fung and Hsieh, 1997, 2001, 2004).”
• Predicting Fraud by Investment Managers (2012, neutral): “In Panel A of Table 7 we estimate alphas for the TASS hedge fund sample using the Fung and Hsieh (2001) eight factor model.13 For the CRSP mutual funds and PSN institutional funds we estimate alphas using the Carhart (1997) model.”
• Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006, neutral): “Given the time variation in this rate over our sample period, we use the total return so as to allow readers to select their own benchmarks.”
• The Life Cycle of Hedge Funds: Fund Flows, Size and Performance ⁄ (2005, neutral): “For example, Ackermann, McEnally and Ravenscraft (1999), Agarwal and Naik (2000b, 2000c), Edwards and Caglayan (2001), Fung and Hsieh (1999, 2000, 2001), Kao (2002), and Liang (1999, 2000, 2001) provide empirical studies of hedge fund performance using different hedge fund databases.”
• Corporate governance and hedge fund activism (2011, neutral): “11 See, for example, Agarwal and Naik (2004), Aragon (2007), Baquero, ter Horst, and Verbeek (2005), Brown, Goetzmann and Park (2001), and Fung and Hsieh (2001). 12 For example, see Ackermann, McEnally, and Ravenscraft (1999), Fung and Hsieh (2000), Liang (1999), and Brown, Goetzmann, and Park (2001”
• Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows? (2018, neutral): “…such as 10 There is a large literature that shows that hedge funds take exotic risks that include option-based factors to capture nonlinear risks (Fung and Hsieh, 1997, 2001, 2004; Mitchell and Pulvino, 2001; Agarwal and Naik, 2004, Hasanhodzic and Lo, 2007; and Fung et al., 2008) in addition to…”
• Asset-Based Style Factors for Hedge Funds (2002, methodology): “…as an empirical phenomenon and to overcome the well-known data deficiencies of peer-group averages, such as survivorship bias and potential nonstationarity in style grouping, we applied the methodology in Fung and Hsieh (2001) to construct an asset-based style factor of trendfollowing strategies.”
• Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, neutral): “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…”
• The performance of hedge funds and mutual funds in emerging markets (2010, methodology): “The most prominent model of this type that has demonstrated considerable explanatory power for hedge fund returns is the factor model developed by Fung and Hsieh (2001, 2004):9 it ft i iSNPMRF t iSCMLC t iBD10RET t iBAAMTSY t iPTFSBD t iPTFSFX t iPTFSCOM t iMSEMKF t it R -”
• Do hedge funds deliver alpha? A Bayesian and bootstrap analysis (2007, background): “Busse and Irvine (2005) report that, with mutual funds, Bayesian sorts improve on the equal-weighted decile spread by at most 3 Fung and Hsieh (1999, 2001) show that Global Macro funds deliver “collar” like payoffs while Trend Follower funds exhibit “look-back straddle” like payoffs.”
• Capacity Constraints and Hedge Fund Strategy Returns (2007, background): “These factors are drawn from the work of Fung and Hsieh (2004). They are: the excess return on the S&P 500 index (SNPMRF); a small minus big factor (SCMLC) constructed as the”
• Hedge Funds as Investors of Last Resort (2009, background): “2 Other papers discussing the behavior and performance of hedge funds include Fung and Hsieh (1997, 1999, 2000a, 2000b, 2001), Ackermann, McEnally, and Ravenscraft (1999); Brown, Goetzmann, and Ibbotson (1999); Brown, Goetzmann, and Park (2000, 2001); Brown and Goetzmann (2003); and Gupta and Liang…”
• Time Series Momentum (2012, background): “Fung and Hsieh (2001) discuss why trend following has straddlelike payoffs and apply this insight to describe the performance of hedge funds.”
• Global Hedge Funds: Risk, Return, and Market Timing (2002, background): “A widely held belief is that hedge funds are able to hedge and diversify market risk while at the same time enhancing return performance (see, for example, Fung and Hsieh 1997, 2001 or Liang 1999, 2001).”