- d
Assessing and valuing the nonlinear structure of hedge fund returns...
- b2find.dkrz.de
Share
Facebook
Twitter
EmailClick to copy linkLink copiedCiteAssessing and valuing the nonlinear structure of hedge fund returns (replication data) - Dataset - B2FIND [Dataset]. https://b2find.dkrz.de/dataset/9735d5bd-c754-5a6e-9296-8ef087534feeDescriptionSeveral studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such nonlinear features with respect to returns on benchmark risk portfolios. We estimate a portfolio of options that best approximates the returns of a given hedge fund, account for this search in the statistical testing of the nonlinearity, and provide a reliable test for a positive valuation of the fund. We find that not all fund categories exhibit significant nonlinearities, and that only a few strategies provide significant value to investors. Our methodology helps identify individual funds that provide value in an otherwise poorly performing category.
- J
Assessing and valuing the nonlinear structure of hedge fund returns...
- journaldata.zbw.eu
- jda-test.zbw.eu
- +1more
csv, txtUpdated Dec 7, 2022ShareFacebookTwitterEmailClick to copy linkLink copiedCiteRené Garcia; René Garcia (2022). Assessing and valuing the nonlinear structure of hedge fund returns (replication data) [Dataset]. http://doi.org/10.15456/jae.2022320.0721155258csv(15332), txt(1207)Available download formatsUnique identifierhttps://doi.org/10.15456/jae.2022320.0721155258Dataset updatedDec 7, 2022Dataset provided byZBW - Leibniz Informationszentrum WirtschaftAuthorsRené Garcia; René GarciaLicenseAttribution 4.0 (CC BY 4.0)https://creativecommons.org/licenses/by/4.0/
License information was derived automaticallyDescriptionSeveral studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such nonlinear features with respect to returns on benchmark risk portfolios. We estimate a portfolio of options that best approximates the returns of a given hedge fund, account for this search in the statistical testing of the nonlinearity, and provide a reliable test for a positive valuation of the fund. We find that not all fund categories exhibit significant nonlinearities, and that only a few strategies provide significant value to investors. Our methodology helps identify individual funds that provide value in an otherwise poorly performing category.
Not seeing a result you expected?
Learn how you can add new datasets to our index.
FacebookTwitterEmailAssessing and valuing the nonlinear structure of hedge fund returns (replication data) - Dataset - B2FIND
Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such nonlinear features with respect to returns on benchmark risk portfolios. We estimate a portfolio of options that best approximates the returns of a given hedge fund, account for this search in the statistical testing of the nonlinearity, and provide a reliable test for a positive valuation of the fund. We find that not all fund categories exhibit significant nonlinearities, and that only a few strategies provide significant value to investors. Our methodology helps identify individual funds that provide value in an otherwise poorly performing category.